Timeline for Weak solutions of linear parabolic PDEs and corresponding SDEs
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Nov 15, 2022 at 23:22 | vote | accept | Haudor | ||
| Nov 8, 2022 at 0:09 | answer | added | Thomas Kojar | timeline score: 0 | |
| Dec 4, 2015 at 15:13 | comment | added | ofer zeitouni | Under boundedness of $\mu$ (and continuity of $\sigma$), weak solutions to the SDE exist by Girsanov's theorem (and time change). | |
| Dec 4, 2015 at 15:11 | comment | added | ofer zeitouni | The phrase "existence for the solution of the SDE" is a bit ambiguous. There are several notions of solution. Strong solutions (i.e. where the process X is a measurable function of W) may fail to exist when $\mu$ is discontinuous. See Tsirelson's example: tau.ac.il/~tsirel/Research/mydrift/main.html | |
| Dec 4, 2015 at 8:37 | review | First posts | |||
| Dec 4, 2015 at 8:47 | |||||
| Dec 4, 2015 at 8:35 | history | asked | Haudor | CC BY-SA 3.0 |