Yamada-Watanabe theorem for stochastic evolution equation driven by Poisson random measure (Q2510957)
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English | Yamada-Watanabe theorem for stochastic evolution equation driven by Poisson random measure |
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Yamada-Watanabe theorem for stochastic evolution equation driven by Poisson random measure (English)
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5 August 2014
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The aim of the paper is to establish the Yamada-Watanabe theory for existence and uniqueness of solutions to stochastic evolution equations of the form \[ X(t)=X(0)+ \int_{0}^t b(s, X(s))ds + \int_0^{t+}\int_Z f(s, z , X(s))\tilde{N}(ds, dz) \] driven by a pure Poisson random measure via a variational approach. Here, \(N\) is an \({\mathcal F}_t\)-Poisson random measure with intensity \(dt\nu(dz)\) on a stochastic basis \((\Omega, {\mathcal F}, P, {\mathcal F}_t)\) and \(Z\) is an arbitrary locally compact Hausdorff topological space. This type of equation can be applied to such stochastic partial differential equations as Burgers, porous media, and Navier-Stokes equations. The author proves that weak existence and strong uniqueness imply strong existence and weak uniqueness and vice versa for this jump-case.
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stochastic evolution equation
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Poisson random measure
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Yamada-Watanabe theorem
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variational method
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jump process
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