No label defined (Q4364136)

The author considers the stochastic differential equation of the form \[ dY_t=b (t,Y_t)dt +\sigma (t,Y_t)dW_t,\;s\leq t\leq T, \quad Y_t=x,\;0\leq t\leq s,\tag{*} \] where \((W_t)_{t\geq 0}\) is the Brownian motion in \(\mathbb{R}^d\). Here \(b:[0,T] \times\mathbb{R}^n \to\mathbb{R}^n\) and \(\sigma: [0,T] \times\mathbb{R}^n \to\mathbb{R}^{n+d}\) are two functions being continuous, locally Lipschitzian with respect to the second variable, and uniform continuous for \(t\). It is supposed that there exists a positive \(C^2\)-function \(h:[0,T] \times\mathbb{R}^n \to\mathbb{R}\) such that \[ \inf_{\| x \|> R} \inf_{t \in [0,T]} h(t,x) \to\infty \text{ whenever } R\to\infty, \] and that there exists \(c>0\) such that \({\mathcal A} h(t,x)\leq c\) \(h(t,x)\), where \({\mathcal A}\) is a differential operator of the form \[ {\mathcal A} f(t,x)= {\partial \over \partial t} f(t,x)+ {1\over 2} \text{tr} \bigl(A(t,x) D^2f(t,x)\bigr) +\bigl\langle b(t,x), \nabla f(t,x) \bigr\rangle. \] The author proves that then (*) has a solution \((X^{s,x}_t)_{t \in[0,T]}\) and that this solution is a Markov processes.