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The uniqueness of the solutions for stochastic differential equations
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In this paper, we obtained some result on the solution of d-dimensional stochastic differential equation for It^o type and gave an existence and uniqueness of the solution to the stochastic differential equation with initial value x(t_0) = x_0 under non-Lipschitz condition with Lipschitz condition being considered as a special case and a weakened linear growth condition.
Abstract
In this paper, we obtained some result on the solution of d-dimensional stochastic differential equation for It^o type and gave an existence and uniqueness of the solution to the stochastic differential equation with initial value x(t_0) = x_0 under non-Lipschitz condition with Lipschitz condition being considered as a special case and a weakened linear growth condition.
참고문헌 (12)
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- F. Y. Wei, "The existence and uniqueness of the solution for stochastic functional di®erential equations with in nite delay", J. Math. Anal. Appl, 331, pp.516~531 (2007)
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