The standard existence and uniqueness theorem for stochastic differential equations requires Lipschitz condition of the coefficients. These results are extended to the case in which the coefficients are not required to be Lipschitz continuous; instead they only satisfy a 'weak' type of Lipschitz condition.
|Number of pages||14|
|Publication status||Published - 1 Dec 1983|
- stochastic differential equations
- Lipschitz condition