Exit Boundaries of Multidimensional SDEs

Russell Lyons

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arXiv · 1902.06735

Exit Boundaries of Multidimensional SDEs

Russell Lyons

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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.

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Russell Lyons. 2019-02-12. Exit Boundaries of Multidimensional SDEs. https://arxiv.org/abs/1902.06735

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