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

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

2009-04-17

arxiv.org/abs/0904.2629v1

Mathematics

Probability

13 pages

Scientific paper

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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