  In this work, we are interested in problems that are related to the physical
phenomena of diffusion. We will focus on the theoretical aspect of the study,
such as existence, uniqueness and non-explosive solutions. We will weaken the
conditions imposed on the coefficients of the stochastic differential equations
(SDE) that model some diffusion phenomena of mechanics. The work will be based
on a general non-explosion criterion and we will obtain sufficient conditions
so that the solution for a certain class of diffusions does not explode. We
will construct Lyapunov functions that ensure the non-explosion of the
solutions. Two important oscillators, namely the Duffing and the Van Der Pol
oscillators, belong to this class. The Euler-Maruyama method is applied to
these two oscillators to give us a simulation solution for them.
