Weak solutions of rough path SDE's via Girsanov
Probability
2018-05-04 v1
Abstract
We consider a differential equation driven by a Brownian motion as well as a rough path. We prove a Girsanov-type result for this equation to construct a weak solution in the probabilistic sense.
Cite
@article{arxiv.1805.01243,
title = {Weak solutions of rough path SDE's via Girsanov},
author = {Torstein Nilssen},
journal= {arXiv preprint arXiv:1805.01243},
year = {2018}
}
Comments
11 pages