A note on weak solutions to stochastic differential equations

Title:

A note on weak solutions to stochastic differential equations

Creator:

Ondreját, Martin and Seidler, Jan

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:3c1631d0-dd5c-4c66-8d45-e96e73022092
uuid:3c1631d0-dd5c-4c66-8d45-e96e73022092
doi:10.14736/kyb-2018-5-0888

Subject:

stochastic differential equations, continuous coefficients, and weak solutions

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

We revisit the proof of existence of weak solutions of stochastic differential equations with continuous coeficients. In standard proofs, the coefficients are approximated by more regular ones and it is necessary to prove that: i) the laws of solutions of approximating equations form a tight set of measures on the paths space, ii) its cluster points are laws of solutions of the limit equation. We aim at showing that both steps may be done in a particularly simple and elementary manner.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Source:

Kybernetika | 2018 Volume:54 | Number:5

Harvested from:

CDK

Metadata only:

false