On the existence of weak solutions to stochastic differential equations with degenerate diffusion (Q760965): Difference between revisions

The stochastic differential equation \[ d\xi_ t=f(t,\xi)dt+g(t,\xi_ t)dt+\sigma (t,\xi)dW_ t,\quad 0\leq t\leq T,\quad \xi_ 0=x, \] with nonlinear drift and degenerate diffusion term is considered. It is shown that the weak solution exists if (apart of some technical conditions) the function g(t,x) can be expressed in the form \(g(t,x)=\gamma (t,\phi (t,x))\), \(\phi \in C^{1,2}\) and the function \(\gamma\) can be approximated locally uniformly by smooth functions.