A note on weak solutions to stochastic differential equations

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00497367" target="_blank" >RIV/67985556:_____/18:00497367 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.14736/kyb-2018-5-0888" target="_blank" >http://dx.doi.org/10.14736/kyb-2018-5-0888</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2018-5-0888" target="_blank" >10.14736/kyb-2018-5-0888</a>

Result language

angličtina

Original language name

A note on weak solutions to stochastic differential equations

Original language 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.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10101 - Pure mathematics

Project

<a href="/en/project/GA15-08819S" target="_blank" >GA15-08819S: Stochastic Processes in Infinite Dimensional Spaces</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

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Volume of the periodical

54

Issue of the periodical within the volume

5

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

20

Pages from-to

888-907

UT code for WoS article

000455560300002

EID of the result in the Scopus database

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