Veretennikov, AY (2020) On Weak Solutions of Highly Degenerate SDEs. Automation and Remote Control, 81 (3). pp. 398-410. ISSN 0005-1179
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.
Metadata
| Authors/Creators: |
|
|---|---|
| Keywords: | stochastic differential equation; weak solution; weak uniqueness; local mixing; Girsanov transformation |
| Dates: |
|
| Institution: | The University of Leeds |
| Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
| Depositing User: | Symplectic Publications |
| Date Deposited: | 11 Jun 2020 10:51 |
| Last Modified: | 12 Jun 2020 09:04 |
| Status: | Published |
| Publisher: | Springer |
| Identification Number: | https://doi.org/10.1134/s0005117920030029 |
Download not available
A full text copy of this item is not currently available from White Rose Research Online
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)