scientific article; zbMATH DE number 1376437

Publication date 13 December 1999

existence stochastic differential equations stochastic generalized differential equations uniqueness

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

The author considers stochastic differential equations of the form \[ dx(t)= (f(x(t))+ h(x(t))dt+ g(x(t))dW(t),\tag{\(*\)} \] where \(f: \mathbb{R}^d\to \mathbb{R}^d\) is a piecewise continuous function, and \(h: \mathbb{R}^d\to \mathbb{R}^d\) and \(g: \mathbb{R}^d\to \mathbb{R}^{d\times r}\) are mappings satisfying the local Lipschitz condition i.e., for every \(N>0\) there exists a constant \(k_N> 0\) such that \(\|h(x)- h(y)\|^2+ \|g(x)- g(y)\|^2\leq k_N\|x- y\|^2\) for all \((x,y)\in \mathbb{B}_N\times \mathbb{B}_N\), \(\mathbb{B}_N= \{x:\|x\|\leq N)\). The author proves the existence and uniqueness of strong solutions to equation \((*)\) in the general case, investigates the dependence of strong solutions on the right-hand side and the initial conditions and establishes an existence theorem for stochastic generalized differential equations.

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