Exit Boundaries of Multidimensional SDEs
Probability
2020-11-24 v1
Authors:
Russell Lyons
Abstract
We show that solutions to multidimensional SDEs with Lipschitz coefficients and driven by Brownian motion never reach the set where all coefficients vanish unless the initial position belongs to that set.
Cite
@article{arxiv.1902.06735,
title = {Exit Boundaries of Multidimensional SDEs},
author = {Russell Lyons},
journal= {arXiv preprint arXiv:1902.06735},
year = {2020}
}
Comments
2pp
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