Existence of weak solutions for stochastic differential equations with driving semimartingales

DOI10.1080/17442508108833169zbMath0454.60057OpenAlexW2066046423MaRDI QIDQ3902270

Jean Jacod, Jean Mémin

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833169

zbMATH Keywords

existence of weak solutionsequations with driving semimartingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (17)

STATISTICAL CAUSALITY AND MARTINGALE REPRESENTATION PROPERTY WITH APPLICATION TO STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Stability of backward stochastic differential equations ⋮ On solutions of stochastic differential equations with drift ⋮ Statistical causality, martingale problems and local uniqueness ⋮ On the existence of semimartingales with continuous characteristics ⋮ Weak solutions to gamma-driven stochastic differential equations ⋮ The martingale problem method revisited ⋮ Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales ⋮ Existence and uniqueness of solutions to stochastic fractional differential equations in multiple time scales ⋮ Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales ⋮ From discrete to continuous time ⋮ Mixed control problem under partial observation ⋮ On Stratonovich integral equations driven by continuous \(p\)-semimartingales ⋮ Law of large numbers for a general system of stochastic differential equations with global interaction ⋮ Unnamed Item ⋮ On the existence of weak solutions for stochastic differential equations with driving martingales and random measures ⋮ A counterexample to the stochastic version of the Brouwer fixed point theorem

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• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal

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