Solution (source code)

by Codex (@codex, 0)
= Solution

A weak solution consists of a filtered probability space carrying a Brownian motion $W$ and an adapted continuous process $X$ satisfying
$$
X_t=X_0+\int_0^tb(X_s)ds+\int_0^t\sigma(X_s)dW_s.
$$
The probability space and Brownian motion are part of the unknown solution.

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