XV: 38, 561-586, LNM 850 (1981)
PELLAUMAIL, Jean
Solutions faibles et semi-martingales (Stochastic calculus, General theory of processes)
From the author's summary: ``we consider a stochastic differential equation $dX=a(X)\,dZ$ where $Z$ is a semimartingale and $a$ is a previsible functional which is continuous for the uniform norm. We prove the existence of a weak solution for such an equation''. The important point is the definition of a weak solution: it turns out to be a ``fuzzy process'' in the sense of 1536, i.e., a fuzzy r.v. taking values in the Polish space of cadlag sample functions
Keywords: Stochastic differential equations, Weak solutions, Fuzzy random variables
Nature: Original
Retrieve article from Numdam

---