  We prove the existence and uniqueness of solutions of SDEs with Lipschitz
coefficients, driven by continuous, model-free martingales. The main tool in
our reasoning is Picard's iterative procedure and a model-free version of the
Burkholder-Davis-Gundy inequality for integrals driven by model-free,
continuous martingales. We work with a new outer measure which assigns zero
value exactly to those properties which are instantly blockable.
