A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations (Q2064806): Difference between revisions

In this article the author establishes the dual Yamada-Watanabe theorem for one-dimensional stochastic differential equations (SDEs) driven by Lévy noise. More precisely, let \(L\) be a quasi-left continuous semimartingale with independent increments, let \(\mu\) and \(\sigma\) be real-valued predictable processes on the path space of real-valued càdlàg functions, and consider the real-valued SDE \[ d X_t = \mu_t(X) dt + \sigma_t(X) dL_t, \quad X_0 = x_0 \in \mathbb{R}. \] Then the main result of the paper (see Theorem 1.1) states that the following statements are equivalent: \begin{itemize} \item[(i)] Strong uniqueness and weak existence holds. \item[(ii)] Weak uniqueness and strong existence holds. \item[(iii)] Weak joint uniqueness and strong existence holds. \end{itemize} This result closes a gap in the literature. As pointed out by the author, so far the only article dealing with the dual Yamada-Watanabe theorem with discontinuous noise was [\textit{H. Zhao} et al., ``Equivalence of uniqueness in law and joint uniqueness in law for SDEs driven by Poisson processes'', Appl. Math. 7, No. 8, 784--792 (2016; \url{doi:10.4236/am.2016.78070})], and there was a gap the proof.