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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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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DOI: https://doi.org/10.1134/S0005117920030029