ON EXISTENCE AND STABILITY OF WEAK SOLUTIONS OF MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL-EQUATIONS WITH MEASURABLE COEFFICIENTS

被引：16

作者：

ROZKOSZ, A

SLOMINSKI, L

机构：

[1] Institute of Mathematics, Nicholas Copernicus University

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1991年 / 37卷 / 02期

关键词：

STOCHASTIC DIFFERENTIAL EQUATIONS WITH MEASURABLE COEFFICIENTS; EXISTENCE OF WEAK SOLUTIONS; WEAK CONVERGENCE; ITO PROCESSES;

D O I：

10.1016/0304-4149(91)90042-B

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study questions of existence and weak convergence of solutions of stochastic differential equations of the type [GRAPHICS] where M = (M1,...,M(d)) is a d-dimensional continuous local martingale and the coefficients A, B are noncontinuous.

引用

页码：187 / 197

页数：11

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