Abstract
In this chapter we establish the well-posedness and a priori estimates for SDEs. Weak solutions of SDEs will also be studied briefly.
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Zhang, J. (2017). Stochastic Differential Equations. In: Backward Stochastic Differential Equations. Probability Theory and Stochastic Modelling, vol 86. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-7256-2_3
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DOI: https://doi.org/10.1007/978-1-4939-7256-2_3
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