A Class of degenerate Stochastic differential equations with non-Lipschitz coefficients
Probability
2009-04-20 v1
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.
Keywords
Cite
@article{arxiv.0904.2629,
title = {A Class of degenerate Stochastic differential equations with non-Lipschitz coefficients},
author = {K. Suresh Kumar},
journal= {arXiv preprint arXiv:0904.2629},
year = {2009}
}
Comments
13 pages