Existence of \(\beta \)-weak solutions of stochastic differential equations with measurable right-hand sides (Q946096)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Existence of \(\beta \)-weak solutions of stochastic differential equations with measurable right-hand sides |
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Existence of \(\beta \)-weak solutions of stochastic differential equations with measurable right-hand sides (English)
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22 September 2008
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It is proved that there exists a \(\beta\)-weak solution of the stochastic differential equation \[ dX(t)= f(t, X(t))\,dt+ g(t, X(t))\,dW(t), \] where \(f\), \(g\) are Borel measurable locally bounded functions and \(W(t)\) is a \(d\)-dimensional Brownian motion. As a corollary it is shown that if a specified continuity condition is also satisfied, then a weak solution exists.
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