On a class of Ito stochastic differential equations (Q2687398)

The author considers a stochastic differential equation of Ito type of the following form: \[ dX(t,\cdot)=f(t,X(t,\cdot)dt+g(t,X(t,\cdot))dW(t),\quad X(0,\cdot)=X_0(\cdot). \tag{1} \] Using the successive approximation \[ dX_n(t,\cdot)=X_0(\cdot)+\int_0^tf(s,X_{n-1}(s,\cdot)ds+\int_0^tg(s,X_{n-1}(s,\cdot))dW(s), \] the existence and uniqueness of the solution is proved and the convergence of this successive approximations is stated. The pathwise uniqueness property of the solutions of the stochastic equation (1) is considered as well. The second main result of the paper concerns a relaxation of the Lipschitz condition by allowing a controlled growth in the time-variable, thus proving a Nagumo-type result (see [\textit{M. Nagumo}, Jpn. J. Math. 3, 107--112 (1926; JFM 52.0438.01)]).