On Weak Solutions of Stochastic Differential Equations II

Martina Hofmanova (1, 2) , Jan Seidler (3)

1 UK - Univerzita Karlova [Praha, Česká republika] = Charles University [Prague, Czech Republic]
2 IRMAR - Institut de Recherche Mathématique de Rennes
3 UTIA / CAS - Institute of Information Theory and Automation of the Czech Academy of Sciences

In the first part of this article a new method of proving existence of weak solutions to stochastic differential equations with continuous coefficients having at most linear growth was developed. In this second part, we show that the same method may be used even if the linear growth hypothesis is replaced with a suitable Lyapunov condition.

Mots clés: Fractional integrals; Stochastic differential equations; Weak solutions

Domaines: Probabilités [math.PR]

Martina Hofmanova, Jan Seidler. On Weak Solutions of Stochastic Differential Equations II. Stochastic Analysis and Applications, 2013, 31 (4), pp.663-670. ⟨10.1080/07362994.2013.799025⟩. ⟨hal-00848011⟩