THE GIRSANOV THEOREM AND WEAK SOLUTIONS OF STOCHASTIC DIFFERENTIAL-EQUATIONS IN THE DUAL OF A NUCLEAR SPACE

被引：1

作者：

BOJDECKI, T ^{[1
]}

JAKUBOWSKI, J ^{[1
]}

机构：

[1] UNIV WARSAW,INST MATH,PL-00901 WARSAW,POLAND

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1991年 / 9卷 / 04期

关键词：

D O I：

10.1080/07362999108809248

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A version of the Girsanov theorem for the inhomogeneous Wiener process in the dual of a nuclear space is proved. It is then applied to the investigation of the existence and uniqueness of weak solutions of stochastic differential equations in this space.

引用

页码：401 / 428

页数：28

共 21 条

[1]

BENSSOUSSAN A, 1982, STUDIES MATH ITS APP, V5, P11

[2] LANGEVIN-EQUATIONS FOR L'-VALUED GAUSSIAN-PROCESSES AND FLUCTUATION LIMITS OF INFINITE PARTICLE-SYSTEMS [J].