On Weak Solutions of Stochastic Differential Equations
By Martina Hofmanov'a, Jan Seidler. 2012
64 citations recorded by the source corpus.
A new proof of existence of weak solutions to stochastic differential equations with continuous coefficients based on ideas from infinite-dimensional stochastic analysis is presented. The proof is fairly elementary, in particular, neither theorems on representation of martingales by stochastic integrals nor results on almost sure representation for tight sequences of random variables are needed.
Subfields: Applied Mathematics, Control and Systems Engineering, Finance
View Paper: https://www.semanticscholar.org/paper/4c17b721dc27c3ed5266ce79bebb1e91b1774637
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Applied Mathematics
In Control and Systems Engineering
- Eduardo Abi Jaber
- Sergio Pulido
- Martin Larsson
- Martin Ondrej'at
- El.zbieta Motyl
- Zdzisław Brzeźniak
- Xicheng Zhang
- Martina Hofmanov'a
In Finance
- Eduardo Abi Jaber
- Sergio Pulido
- Martin Larsson
- Martin Ondrej'at
- Martina Hofmanov'a
- Zdzisław Brzeźniak
- El.zbieta Motyl
- Christa Cuchiero
Citations in the corpus
- Stochastic NonLinear Wave Equations in Local Sobolev Spaces (2010, background): “First applications were done already in [4] and, in the finite-dimensional case, also in [20].”
- Affine Volterra processes (2017, background): “(2011); Spreij and Veerman (2012); Larsson and Krühner (2017). A key goal is then to obtain explicit parameterizations that can be used in applications. In later sections we carry out this analysis for affine Volterra processes with state space Rd, R+, and R × R+. In the standard affine case more ge”