The notion of weak solution for stochastic differential equation with terminal conditions is in-troduced. By Girsanov transformation, the equivalence of existence of weak solutions for two-type equationsis established...The notion of weak solution for stochastic differential equation with terminal conditions is in-troduced. By Girsanov transformation, the equivalence of existence of weak solutions for two-type equationsis established. Several sufficient conditions for the existence of the weak solutions for stochastic differentialequation with terminal conditions are obtained, and the solution existence condition for this type of equations isrelaxed. Finally, an example is given to show that the result is an essential extension of the one under Lipschitzcondition on g with respect to (Y, Z).展开更多
基金This work was partially supported by the National Natural Science Foundation of China (Grant No. 79790130).
文摘The notion of weak solution for stochastic differential equation with terminal conditions is in-troduced. By Girsanov transformation, the equivalence of existence of weak solutions for two-type equationsis established. Several sufficient conditions for the existence of the weak solutions for stochastic differentialequation with terminal conditions are obtained, and the solution existence condition for this type of equations isrelaxed. Finally, an example is given to show that the result is an essential extension of the one under Lipschitzcondition on g with respect to (Y, Z).
