Lack of strong completeness for stochastic flows (Q717883)

An example of a stochastic differential equation with locally Lipschitz continuous coefficients with linear growth is constructed which does not generate a stochastic flow of homeomorphisms. The example is two-dimensional and of the form \(dx=\sigma(x,y)\,dW(t)\), \(dy=0\), where \(\sigma\) has increasingly strong oscillations for \(x\to\infty\) with frequencies depending on \(y\).