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Weak solutions of rough path SDE's via Girsanov

Published 3 May 2018 in math.PR | (1805.01243v1)

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.

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Authors (1)

  1. Torstein Nilssen 

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