Weak solutions of rough path SDE's via Girsanov
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.
- Publication:
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arXiv e-prints
- Pub Date:
- May 2018
- DOI:
- arXiv:
- arXiv:1805.01243
- Bibcode:
- 2018arXiv180501243N
- Keywords:
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- Mathematics - Probability;
- 60H05;
- 60H10
- E-Print:
- 11 pages