Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such systems results in solving path constrained SDEs. Broadly, these problems fall under the category of Stochastic Differential-Algebraic Equations (SDAEs). In this article, the focus is on combining ideas from the local theory of Differential-Algebraic Equations with that of Stochastic Differential Equations. The question of existence and uniqueness of the solution for SDAEs is addressed by using contraction mapping theorem in an appropriate Banach space to arrive at a sufficient condition. From the geometric point of view, a necessary condition is derived for the existence of the solution. It is observed that there exists a class of high index SDAEs for which there is no solution. Hence, computational methods to find approximate solution of high index equations are presented. The techniques are illustrated in form of algorithms with examples and numerical computations.
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