Consider a complete filtration \({\mathcal{F}}_t\), t∈[0,T]} and an m-dimensional Wiener process {W(t), t ∈ [0,T]} with respect to it. By definition, a stochastic differential equation (SDE) is an equation of the form with X 0=ξ, where ξ is an \({\mathcal{F}}_0\)-measurable random vector, \(b=b(t,x): [0,T]\times \mathbb{R}^n\rightarrow \mathbb{R}^n\), and \(\sigma=\sigma(t,x): [0,T]\times \mathbb{R}^n\rightarrow \mathbb{R}^{n\times m}\) are measurable functions.