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Existence-uniqueness for Stochastic Functional Differential Equations with Non-Lipschitz Coefficients
Authors: Lingying Teng, Xiaohu Wang
Number of views: 474
The main aim of this paper is to develop some basic theories of stochastic functional
differential equations (SFDEs) with non-Lipschitz coefficients. Firstly, we show that Peano’s theorem
holds for SFDEs, that is, the continuity alone is sufficient to prove the local existence of the
initial value problem of SFDEs. Secondly, some new uniqueness theorems are established by the
comparison methods proposed by Xu et al. And then, continuation theorems and global existence
theorems for SFDEs with non-Lipschitz coefficients are obtained. Finally, an example is given to
illustrate the efficiency of the obtained results.