Given a stochastic differential equation SDE the mathematical definitions are clear to me, i.e. we want to find a filtered probability space, a BM and a process which satisfy the SDE. However in the real world we are given a probability space and a BM on it (e.g. the uncertainty on the stock market). Why constructing these weak solutions which are purely mathematical objects would help?
2026-03-28 10:31:14.1774693874
What does it mean from a practical point of view to find a weak (or martingale) solution of a stochastic differential equation?
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