Some remarks on stochastic differential equations in the plane with local lipschitz coefficients

Marta Sanz-Solé

Statistics & Probability Letters, 1986, vol. 4, issue 6, 343-348

Abstract: We prove the existence and uniqueness of a local solution for stochastic differential equations in the plane with local Lipschitz coefficients, and state the existence of random points where the solution explodes. A sufficient condition to obtain a global solution is given.

Keywords: stochastic; differential; equation; two-parameter; Wiener; process; stopping; line (search for similar items in EconPapers)
Date: 1986
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