A Class of degenerate Stochastic differential equations with non-Lipschitz coefficients

2009/04/17 by K. Suresh Kumar, Kumar, K. Suresh · 1 citation
Mathematics · #60G17 #60H10 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G17 #msc:60H10

paper · pdf · doi:10.48550/arxiv.0904.2629

13 pages

arxiv created 2009/04/17 · arxiv updated 2009/12/01

Abstract

We obtain sufficient condition for SDEs to evolve in the positive orthant. We use comparison theorem arguments to achieve this. As a result we prove the existence of a unique strong solution for a class of multidimensional degenerate SDEs with non-Lipschitz diffusion coefficients.

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