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Lipschitz Stochastic Differential Equations

  • Cohen S
  • Elliott R
DOI: 10.1007/978-1-4939-2867-5_16
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Abstract

… equivalent. The main result of this chapter is Theorem 16.3.11, which gives the existence and uniqueness of solutions to this equation whenever f satisfies an appropriate Lipschitz continuity condition. Definition 16.0.1. For X …

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Cohen, S. N., & Elliott, R. J. (2015). Lipschitz Stochastic Differential Equations (pp. 397–426). https://doi.org/10.1007/978-1-4939-2867-5_16

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