Existence-uniqueness of the solution for neutral stochastic functional differential equations
Neutral stochastic functional differential equations are a new field of active investigations. They aim at modeling situations where stochastic equations ``not only depend on past and present values but also involve derivatives with delays. In this paper, some new results are obtained for these equations. In Section 3, a local existence-uniqueness theorem is established under a local Lipschitz condition for the right side and an unusual so-called ``lower Lipschitz condition for the left side of the equation. Section 4 deals with questions of continuation of the solution on maximal intervals. In Section 5, a global existence theorem is proven. Two examples are given in Section 6 to illustrate the efficiency of the theoretical results that have been obtained in the above sections.
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