多维随机微分方程弱解的存在性

Existence of Weak Solution to Multi—Dimensional Stochastic Differential Equations

证明了方程 X_i=X_0+integral from n=0 to t σ(s,X)dB_s+integral from n=0 to t b(s,X)ds在一般线性增长条件下,σ(t,x)为退化方阵,b(t,x)仅满足某种可测条件时弱解存在。

In this paper the following stochastic differential equation has been considered:X_i=X_0+integral from n=0 to t σ (s, X)dB+ integral from n=0 to t b(s,X)dsThe existence of a weak solution to this equation with nonsmooth drift and degenerate diffusion term has been proved.