A. Yu. Veretennikov, “On weak solutions of highly degenerate SDEs”, Avtomat. i Telemekh., 2020, Issue 3,Pages <nobr>28

This article is cited in 4 papers

Topical issue

On weak solutions of highly degenerate SDEs

A. Yu. Veretennikov^abc

^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.

Presented by the member of Editorial Board: B. M. Miller

Received: 20.06.2019
Revised: 14.08.2019
Accepted: 26.09.2019

DOI: 10.31857/S0005231020030034