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On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients
Abstract:The subject of the paper is to find existence conditions of weak solutions to multivalued stochastic differential equations with discontinuous coefficients. First we prove that a non-exploding solution exists when the drift coefficient b satisfies linear growth and the diffusion coefficient σ is uniformly elliptic. On this basis, we continue to obtain a solution (up to the explosion time) in the weak sense under certain local integrability, improving the result of Rozkosz and S?omiński.
Keywords:multivalued stochastic differential equation  Krylov's estimate  Skorohod's theorem  weak solution  tightness  weak convergence
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