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2019 Exit boundaries of multidimensional SDEs
Russell Lyons
Electron. Commun. Probab. 24: 1-2 (2019). DOI: 10.1214/19-ECP231

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

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Russell Lyons. "Exit boundaries of multidimensional SDEs." Electron. Commun. Probab. 24 1 - 2, 2019. https://doi.org/10.1214/19-ECP231

Information

Received: 8 February 2019; Accepted: 12 April 2019; Published: 2019
First available in Project Euclid: 20 May 2019

zbMATH: 07068648
MathSciNet: MR3953825
Digital Object Identifier: 10.1214/19-ECP231

Subjects:
Primary: 60H10

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