Local solution of a stochastic differential equation

A local solution is a locally defined stochastic process taking values in a specified open domain $U$ and satisfying the stochastic differential equation on every stopped interval before its lifetime. For $dX=b(X)dt+\sigma (X)dB$, the integral equation holds after each announcing stop, with the requisite local drift and noise integrability. A maximal local solution of a stochastic differential equation cannot be extended while remaining in $U$; a finite lifetime can be a boundary hit rather than divergence to infinity.