Abstract

We study questions of existence and weak convergence of solutions of stochastic differential equations of the type X t=x+ ∫t 0 B(X s) dM s+ ∫t 0 A(X s) d〈M〉 s, t∈ R + , where M=( M 1,…, M d ) is a d-dimensional continuous local martingale and the coefficients A, B are noncontinuous.

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