On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients
The subject of the paper is to find existence conditions of weak solutions to multivalued stochastic differential equations with discontinuous coefficients. First we prove that a non-exploding solution exists when the drift coefficient b satisfies linear growth and the diffusion coefficient σ is uniformly elliptic. On this basis, we continue to obtain a solution (up to the explosion time) in the weak sense under certain local integrability, improving the result of Rozkosz and Słomiński.
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Document Type: Research Article
Affiliations: School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou, Guangdong,510275, P.R. China
Publication date: March 4, 2014