CONDITIONS TO GUARANTEE THE EXISTENCE AND UNIQUENESS OF THE SOLUTION TO STOCHASTIC DIFFERENTIAL EQUATIONS

Chan-Ho Park, Mun-Jin Bae, Young-Ho Kim

Abstract


The main aim of this paper show the conditions to guarantee the existence and uniqueness of the solution to stochastic differential equations. To make this stochastic analysis theory more understandable, we impose a weakened H ╠łolder condition and a weakened linear growth condition. Furthermore, we give some properties of the solutions to the stochastic differential equations.


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ISSN: 1229-1595 (Print), 2466-0973 (Online)