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Sur l’équation stochastique de Tsirelson. (French) Zbl 0535.60052
Sémin. de probabilités XVII, Proc. 1981/82, Lect. Notes Math. 986, 81-88 (1983).
[For the entire collection see Zbl 0498.00003.]
Given the Ito stochastic differential equation (1) \(dX_ t=dB_ t+b(t,X)dt\), where \(B_ t\) is a standard Wiener process and the functional b is taken in such a form that equation (1) has no strict solution, some properties of solutions of equation (1) with such a coefficient of diffusion b are investigated in the paper.
Reviewer: V.B.Kolmanovskii
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
weak solution
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