On weak solutions of highly degenerate SDEs. (English. Russian original) Zbl 1455.60077
Autom. Remote Control 81, No. 3, 398-410 (2020); translation from Avtom. Telemekh. 2020, No. 3, 28-43 (2020).
Summary: 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.
MSC:
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
Keywords:
stochastic differential equation; weak solution; weak uniqueness; local mixing; Girsanov transformationReferences:
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