Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients

Abstract

We prove an existence theorem for weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients. A weak solution of an equation is understood as a weak solution of a stochastic differential inclusion constructed on the basis of the equation. We derive conditions providing the absence of blow-up in weak solutions.