Existence and pathwise uniqueness theorem for a stochastic differential equation

ID: existence-and-pathwise-uniqueness-theorem-for-a-stochastic-differential-equation

If the drift and diffusion coefficients are locally Lipschitz on an open domain, then for every initial point there is a pathwise unique strong solution up to a maximal lifetime. That lifetime is the limit of the exit times from an increasing sequence of compact subsets of the domain.

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