On Weak Solutions of Stochastic Differential Equations |
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| Authors: | Martina Hofmanová |
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| Affiliation: | 1. Department of Mathematical Analysis, Faculty of Mathematics and Physics , Charles University , Praha, Czech Republic;2. Institute of Information Theory and Automation of the ASCR , Praha, Czech Republic |
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| Abstract: | A new proof of existence of weak solutions to stochastic differential equations with continuous coefficients based on ideas from infinite-dimensional stochastic analysis is presented. The proof is fairly elementary, in particular, neither theorems on representation of martingales by stochastic integrals nor results on almost sure representation for tight sequences of random variables are needed. |
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| Keywords: | Fractional integrals Stochastic differential equations Weak solutions |
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