# Proving weak existence of CIR process

Consider the following SDE

$$X_t = x + \int_0^t \theta (\mu -X_s) ds + \int_0^t\kappa \sqrt{|X_s|} dW_s$$

where W is a brownian motion. I'm trying to show a weak solution exists, does anyone have a tip to get me started?

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Perhaps, a good book on SDEs such as Revuz and Yor? Also, this may be of a help. –  Ilya May 22 '13 at 11:17
Thanks for your interest, i did indeed solve it myself. But I will check out your references anyway :) –  Henrik May 22 '13 at 12:38

The theorem proving weak existence is by skorokhod and states: Let $b$ denote the drift of the SDE and $\sigma$ the diffusion then if $$|\sigma(x)| + |b(x)| \leq c_1 + c_2|x|$$
We use that the solution to CIR is non-negative (this can be shown by a comparison result). Then notice that $b(x)=\theta\cdot \mu - \theta x$ and $\sigma (x)\leq \kappa + \kappa \cdot x$ since $\sqrt{x}\leq 1$ for $x \leq 1$ and after that $\sqrt{x} \leq x$. So choosing e.g. $c_1=\theta\cdot \mu + \kappa$ and $c_2 = \kappa - \theta \cdot \mu$ we are done.