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On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients

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  • Rozkosz, Andrzej
  • Slominski, Leszek

Abstract

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

Suggested Citation

  • Rozkosz, Andrzej & Slominski, Leszek, 1991. "On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 187-197, April.
    • Handle: RePEc:eee:spapps:v:37:y:1991:i:2:p:187-197
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    Cited by:

    1. Lejay, Antoine, 2002. "BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 1-39, January.
    2. Rozkosz, Andrzej, 1996. "Stochastic representation of diffusions corresponding to divergence form operators," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 11-33, October.
    3. Lejay, Antoine, 2004. "A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE," Stochastic Processes and their Applications, Elsevier, vol. 110(1), pages 145-176, March.

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