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
| Item Type: | Article |
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| Authors/Creators: |
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| Keywords: | stochastic differential equation; weak solution; weak uniqueness; local mixing; Girsanov transformation |
| Dates: |
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| 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: | 10.1134/s0005117920030029 |
| Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:161791 |
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