POSITIVITY OF SOLUTION OF NONHOMOGENEOUS STOCHASTIC DIFFERENTIAL EQUATION WITH NON-LIPSCHITZ DIFFUSION

YULIYA MISHURA AND SVITLANA POSASHKOVA

Theory of Stochastic Processes Vol.14 (30), no.3-4, 2008, pp.77-88

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.

Full version