Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion

• Date: 2008
• Main Authors: Mishura, Y., Posashkova, S.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2008
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4570
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion / Y. Mishura, S. Posashkova // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 77-88. — Бібліогр.: 6 назв.— англ.

We give a sufficient condition on coefficients of a nonhomogeneous stochastic differential equation with non-Lipschitz diffusion for a solution starting from arbitrary nonrandom positive point to stay positive. Some examples of application of the condition mentioned above are considered.