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Energy methods for stochastic differential equations

This article is devoted to the existence of strong solutions to stochastic differential equations (SDEs). Compared with Ito's theory, we relax the assumptions on the volatility term and replace the global Lipschitz continuity condition with a local Lipschitz continuity condition and a Hoelder continuity condition. In particular, our general SDE covers the Cox–Ingersoll–Ross SDE as a special case. We note that the general weak existence theory presumably extends to our general SDE (although the explicit time dependence of the drift term and the volatility term might require some extra considerations). However, avoiding weak existence theory we prove the existence of a strong solution directly using a priori estimates (the so-called energy estimates) derived from the SDE. The benefit of this approach is that the argument only requires some basic knowledge about stochastic and functional analysis. Moreover, the underlying principle has developed to become one of the cornerstones of the modern theory of partial differential equations (PDEs). In this sense, the general goal of this article is not just to establish the existence of a strong solution to the SDE under consideration but rather to introduce a new principle in the context of SDEs that has already proven to be successful in the context of PDEs.