Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 202 / 5 / b / Solution

Work first under Wiener measure $P$ with coordinate Brownian motion $X$. Boundedness of $b$ implies the Novikov condition, sohas expectation one. Define $Q$ by $dQ=Z_{T}dP$. The Girsanov theorem makesa $Q$-Brownian motion, and hence $(X,W,Q)$ is a weak solution of a stochastic differential equation.

For uniqueness in law, start with any weak solution under $Q$ and apply the inverse change of measure with density $\mathcal{E}(-\int b(X_s)d{W}_s{)}_T$. Boundedness again gives the Novikov condition, and under the resulting measure $P$ the process $X$ is Brownian. Reversing the density expresses the law of $X$ under $Q$ as the same functional $Z_T$ of a Wiener path. It is therefore independent of the chosen weak solution. This proves the Weak existence and uniqueness in law for an additive-noise SDE with bounded drift.