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On Weak Solutions of Highly Degenerate SDEs

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Abstract

The existence and weak uniqueness of a weak solution of a highly degenerate stochastic differential equation, along with its local mixing property, are established via Girsanov’s transformation.

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Funding

This work was supported by the Russian Academic Excellence Project “5-100”; the part related to Theorem 3 was supported by the Russian Science Foundation, project no. 17-11-01098.

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Authors and Affiliations

  1. University of Leeds, Leeds, United Kingdom

    A. Yu. Veretennikov

  2. National Research University Higher School of Economics, Moscow, Russia

    A. Yu. Veretennikov

  3. Kharkevich Institute for Information Transmission Problems, Moscow, Russia

    A. Yu. Veretennikov

Authors
  1. A. Yu. Veretennikov
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Correspondence to A. Yu. Veretennikov.

Additional information

This paper was recommended for publication by E. Ya. Rubinovich, a member of the Editorial Board

Russian Text © The Author(s), 2020, published in Avtomatika i Telemekhanika, 2020, No. 3, pp. 28–43.

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Veretennikov, A.Y. On Weak Solutions of Highly Degenerate SDEs. Autom Remote Control 81, 398–410 (2020). https://doi.org/10.1134/S0005117920030029

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