On the strong and weak solutions of stochastic differential equations governing Bessel processes. (English) Zbl 0970.60066
The paper considers the problem of the existence and uniqueness for strong and weak solutions for the stochastic differential equation of Bessel processes. A proof is provided that clarifies several different cases in dependence on the dimension of the Bessel process.
Reviewer: Eckhard Platen (Broadway)
MSC:
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
