Some remarks on stochastic differential equations in the plane with local lipschitz coefficients

We prove the existence and uniqueness of a local solution for stochastic differential equations in the plane with local Lipschitz coefficients, and state the existence of random points where the solution explodes. A sufficient condition to obtain a global solution is given.

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Year of publication:	1986
Authors:	Sanz-Solé, Marta
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 4.1986, 6, p. 343-348
Publisher:	Elsevier
Keywords:	stochastic differential equation two-parameter Wiener process stopping line

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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