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This article is cited in 3 scientific papers (total in 3 papers)
Topical issue
On weak solutions of highly degenerate SDEs
A. Yu. Veretennikovabc a University of Leeds, Leeds, United Kingdom
b National Research University Higher School of Economics, Moscow, Russia
c Kharkevich Institute for Information Transmission Problems, Moscow, Russia
Abstract:
The existence and weak uniqueness of a weak solution of a highly degenerate stochastic differential equation, along with its local mixing property, are established via Girsanov's transformation.
Keywords:
stochastic differential equation, weak solution, weak uniqueness, local mixing, Girsanov transformation.
Citation:
A. Yu. Veretennikov, “On weak solutions of highly degenerate SDEs”, Avtomat. i Telemekh., 2020, no. 3, 28–43; Autom. Remote Control, 81:3 (2020), 398–410
Linking options:
https://www.mathnet.ru/eng/at15435 https://www.mathnet.ru/eng/at/y2020/i3/p28
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Statistics & downloads: |
Abstract page: | 203 | Full-text PDF : | 44 | References: | 34 | First page: | 24 |
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