Mackevičius, Vigirdas - In: Mathematics and Computers in Simulation (MATCOM) 74 (2007) 1, pp. 20-28
We consider scalar stochastic differential equations of the formdXt=μ(Xt)dt+σ(Xt)dBt,X0=x0,where B is a standard Brownian motion. Suppose that the coefficients are such that the solution X possesses the (a, b)-invariance property for some interval (a,b)⊂R:Xt∈(a,b) for all t≥0 if...
