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On existence and uniqueness of solution of stochastic differential equations with heredity
Abstract:We consider the Cauchy problem for the stochastic differential equation with the heredity where x t(s) = x(s)for s?(- ∞,t).Existence and uniqueness theorems for the problem (1),(2)are proved inthe case,when instead of the Lipschitz condition for the functions a(t,u) and b(t,u)on u someless restrictive conditions (Ousgood or Hölder type)are satisfied, and the operator(Fx)(t) = x(t)-f(t,x t) is invertible.Similar questions were considered in1-4]
Keywords:Ergodic Markov process  Donsker-Varadhan result  linearization argument
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