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On transformations of Wiener space
Author(s) -
A. V. Skorokhod
Publication year - 1994
Publication title -
international journal of stochastic analysis
Language(s) - English
Resource type - Journals
eISSN - 2090-3340
pISSN - 2090-3332
DOI - 10.1155/s1048953394000249
Subject(s) - algorithm , computer science
We consider transformations of the form(Tax)t=xt+∫0ta(s,x)dson the space C of all continuous functions x=xt:[0,1]→ℝ, x0=0, where a(s,x)is a measurable function [0,1]×C→ℝ which is ˜s-measurable for a fixed s and ˜sis the σ-algebra generated by {xu,u≤t}. It is supposed that Ta maps the Wiener measure μ0 on (C,˜s) into a measure μa which is equivalent with respect to μ0. We study some conditions of invertibility of such transformations. We also consider stochastic differential equations of the formdy(t)=dw(t)+a(t,y(t))dt, y(0)=0where w(t) is a Wiener process. We prove that this equation has a unique strong solution if and only if it has a unique weak solution

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