1. A note on weak solutions to stochastic differential equations
- Creator:
- Ondreját, Martin and Seidler, Jan
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- stochastic differential equations, continuous coefficients, and weak solutions
- Language:
- English
- 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.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public