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Given \((\mu,\sigma)\) and a setup \((\Omega,\mathcal{F},P,F,W)\), a solution on \((\Omega,\mathcal{F},P,F,W)\) of the SDE \((\mu,\sigma)\) is an \(N\) dimensional Itô process \(X\) on \((\Omega,\mathcal{F},P,F,W)\) with a potentially random initial value \(X(0)\), such that the process \(\mu(X,t)\) belongs to \(\mathcal{L}^{1}\), the process \(\sigma(X,t)\) belongs to \(\mathcal{L}^{2}\), and for all \(t \in [0,\infty)\),
$$X(t) = X(0) + \int_{0}^{t} \mu(X,s) \, ds + \int_{0}^{t} \sigma(X,s) \, dW$$

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