A class of degenerate stochastic differential equations with non-Lipschitz coefficients |
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| Authors: | K SURESH KUMAR |
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| Affiliation: | 1. Department of Mathematics, Indian Institute of Technology Bombay, Mumbai, 400 076, India
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| Abstract: | We obtain sufficient condition for SDEs to evolve in the positive orthant. We use arguments based on comparison theorems for SDEs to achieve this. As an application 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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