On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe

DOI10.1007/S40072-020-00167-6MaRDI QIDQ2045405zbMATH OpenOpenAlexFDO

Authors Marco Rehmeier

Publication date 12 August 2021

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1812.02607

zbMATH Keywords

joint uniqueness in lawpathwise uniquenessstochastic partial differential equationsuniqueness in lawvariational solutionsYamada-Watanabe theorem

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We prove that joint uniqueness in law and the existence of a strong solution imply pathwise uniqueness for variational solutions to stochastic partial differential equations of the form �egin{align*} ext{d}X_t=b(t,X) ext{d}t+sigma(t,X) ext{d}W_t, ,,,tgeq 0, end{align*} and show that for such equations uniqueness in law is equivalent to joint uniqueness in law. Here $W$ is a cylindrical Wiener process in a separable Hilbert space $U$ and the equation is considered in a Gelfand triple $VsubseteqHsubseteqE$, where $H$ is some separable (infinite-dimensional) Hilbert space. This generalizes the corresponding results of A. Cherny for the case of finite-dimensional equations.

Review text

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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Cited in

(14)

• Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane
• A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
• On a theorem by A.S. Cherny for semilinear stochastic partial differential equations
• Nonuniqueness in law for stochastic hypodissipative Navier-Stokes equations
• Infinite dimensional generalizations of Choi's theorem
• The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
• Yamada-Watanabe results for stochastic differential equations with jumps
• On the theorem of T. Yamada and S. Watanabe
• On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
• A theorem dual to Yamada-Watanabe theorem for stochastic evolution equations
• The dual Yamada-Watanabe theorem for mild solutions to stochastic partial differential equations
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• The Yamada-Watanabe-Engelbert theorem for SPDEs in Banach spaces
• The Yamada-Watanabe theorem for mild solutions to stochastic partial differential equations

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