Existence-uniqueness and continuation theorems for stochastic functional differential equations (Q944312): Difference between revisions

The authors investigate existence, uniqueness and continuation of solutions for stochastic functional differential equations driven by Brownian motion in which the coefficients map \([0,T) \times L^2(\Omega,C)\) to \(L^2(\Omega,C)\). Here, \(\Omega\) is the underlying probability space and \(C=C([-r,0],{\mathbb{R}}^n)\), where \(r>0\) is the maximal delay. Under suitable conditions like adaptedness and local Lipschitz conditions, they establish local existence and uniqueness of solutions. Due to the particular set-up (in \(L^2\)), maximal solutions are defined on a \textit{deterministic} time interval. In addition, the authors provide sufficient conditions for global existence in terms of Lyapunov functions.