On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe (Q2045405)
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English | On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe |
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On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe (English)
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12 August 2021
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Consider a stochastic partial differential equation \[ \text{d}X_t = b(t,X)\text{d}t + \sigma(t,X)\text{d}W_t, \quad t \geq 0 \] in the framework of the variational approach. The two main results of the present paper are as follows: The existence of a strong solution and joint uniqueness in law imply pathwise uniqueness; see Theorem 3.1 for the precise statement. Furthermore, uniqueness in law (for deterministic initial conditions) is equivalent to joint uniqueness in law (for deterministic initial conditions); see Theorem 3.2. As a consequence, the author derives a dual statement to the Yamada-Watanabe theorem: The existence of a strong solution and uniqueness in law (for deterministic initial conditions uniqueness) imply pathwise uniqueness (for deterministic initial conditions); see Corollary 3.3. The results of this paper generalize those from \textit{A. S. Cherny} [Theory Probab. Appl. 46, No. 3, 406--419 (2001; Zbl 1036.60051); translation from Teor. Veroyatn. Primen. 46, No. 3, 483--497 (2001)], where such statements have been proven for finite dimensional stochastic differential equations.
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stochastic partial differential equations
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Yamada-Watanabe theorem
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pathwise uniqueness
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uniqueness in law
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joint uniqueness in law
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variational solutions
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