Abstract
We show that solutions to multidimensional SDEs with Lipschitz coefficients and driven by Brownian motion never reach the set where all coefficients vanish unless the initial position belongs to that set.
Citation
Russell Lyons. "Exit boundaries of multidimensional SDEs." Electron. Commun. Probab. 24 1 - 2, 2019. https://doi.org/10.1214/19-ECP231