Certain invariant sets of stochastic flows generated by stochastic differential equations (Q1210067)

Let \(V_ i\) \((i=0,1,\dots,r)\) be smooth vector fields on \(\mathbb{R}^ d\) and \(w(t)\) be an \(r\)-dimensional Wiener process. Consider the stochastic differential equation \[ dx_ t=\sum^ r_{k=1}V_ k(x_ t)\circ dw^ k(t)+V_ 0(x_ t)dt,\quad x_ 0=x. \tag{1} \] Let \(\theta_{0,t},\dots,\theta_{r,t}\) be the flows of the fields \(V_ 0,\dots,V_ r\), respectively. Denote by \(E_ x\) the set \(\theta_{k_ nt_ n}\circ\cdots\circ\theta_{k_ 1t_ 1}(x)\), where \(n\) is a positive integer, \(k_ 1,\dots,k_ n\in\{0,\dots,r\}\) and \(t_ 1,\dots,t_ n\in(-\infty,+\infty)\). The author shows that when \(V_ 0,\dots,V_ r\) and \(V_ 0+\sum^ r_{k=1}\partial V_ k\cdot V_ k\) (where \(\partial V_ k\) is the Jacobi matrix) satisfy the global Lipschitz condition, the flow, generated by (1) preserves all submanifolds of the type \(E_ x\). In particular it means that without the global Lipschitz condition \(x_ t\) does not exit from \(E_ x\) up to the explosion time.