Copyright © 2011 Guixin Hu and Ke Wang. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
We introduce a new kind of equation, stochastic differential equations with self-exciting switching. Firstly, we give some preliminaries for this kind of equation, and then, we get the main results of our paper; that is, we gave the sufficient condition which can guarantee the existence and uniqueness of the solution.