The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
path-wise uniquenessstochastic differential equationsstochastic partial differential equationsstrong solutionstrong uniquenessweak solution
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic analysis (60H99)
The author considers stochastic equations and studies the relationship between weak and strong existence and weak and strong uniqueness of solutions. Earlier results for special types of stochastic equations were obtained by \textit{T. Yamada} and \textit{S. Watanabe} [J. Math. Kyoto Univ. 11, 155--167 (1971; Zbl 0236.60037)] and \textit{H. J. Engelbert} [Stochastics Stochastics Rep. 36, No. 3--4, 205--216 (1991; Zbl 0739.60046)]. In particular, Yamada and Watanabe proved for Itô equations that weak existence and strong uniqueness imply strong existence and weak uniqueness, whereas Engelbert considered a slightly more general type of equations and showed a converse: weak joint uniqueness and strong existence imply strong uniqueness. Further results for other classes of equations, e.g., backward stochastic differential equations and two-parameter stochastic differential equations, have been obtained subsequently by other researchers and in the paper under review the author generalises and unifies these results. Thus, given two Polish spaces \(S_1\) and \(S_2\) and \(\nu\) a probability law on \(S_2\) the author studies stochastic equations driven by a process \(Y\), with \(P_Y=\nu\), and describes the joint law \(P_{(X,Y)}\) of a weak solution \((X,Y)\) of that equation by convex constraints \(\Gamma\) on the set of probability measures \(\mu\) over \(S_1\times S_2\) with \(\mu(S_1\times \cdot)=\nu\), and by a compatibility restriction \(\mathcal{C}\). Based on these notions, the author defines unique and strong solutions for the triplet \((\Gamma,\mathcal{C},\nu)\) and gives a number of results concerning their relationship with different notions of uniqueness, e.g., pointwise uniqueness, \(\mu\)-pointwise uniqueness and joint uniqueness in law. Applications to several classes of equations are also provided.
- On the theorem of T. Yamada and S. Watanabe
- Yamada-Watanabe results for stochastic differential equations with jumps
- scientific article; zbMATH DE number 1405941
- On the solutions of stochastic differential equations involving the local times of the unknown processes
- scientific article; zbMATH DE number 4098427
- Weak and strong solutions of general stochastic models
- On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe
- scientific article; zbMATH DE number 2050991
- Super-Brownian motion as the unique strong solution to an SPDE
- Scaling limit of stochastic 2D Euler equations with transport noises to the deterministic Navier-Stokes equations
- On a class of stochastic partial differential equations with multiple invariant measures
- High mode transport noise improves vorticity blow-up control in 3D Navier-Stokes equations
- Sub-critical and critical stochastic quasi-geostrophic equations with infinite delay
- The spatial Lambda-Fleming-Viot process with fluctuating selection
- On Cherny's results in infinite dimensions: a theorem dual to Yamada-Watanabe
- A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations
- Infinite-dimensional regularization of McKean-Vlasov equation with a Wasserstein diffusion
- Stochastic heat equation with general rough noise
- On a theorem by A.S. Cherny for semilinear stochastic partial differential equations
- Stochastic evolution equations driven by cylindrical stable noise
- Stochastic magneto-hydrodynamic equations (MHD): invariant measures in 2D Poincaré domains
- The Stampacchia maximum principle for stochastic partial differential equations forced by Lévy noise
- The seed bank coalescent with simultaneous switching
- Convergence of transport noise to Ornstein-Uhlenbeck for 2D Euler equations under the enstrophy measure
- Point vortex approximation for 2D Navier-Stokes equations driven by space-time white noise
- All adapted topologies are equal
- Infinite dimensional affine processes
- Hölder continuity of the solutions to a class of SPDE's arising from branching particle systems in a random environment
- Uniqueness of the nonlinear Schrödinger equation driven by jump processes
- A note on stochastic semilinear equations and their associated Fokker-Planck equations
- Sub and supercritical stochastic quasi-geostrophic equation
- Restricted Markov uniqueness for the stochastic quantization of \(P(\Phi)_{2}\) and its applications
- Pathwise uniqueness for stochastic differential equations driven by pure jump processes
- Weak solutions of backward stochastic differential equations with continuous generator
- Yamada-Watanabe theorem for stochastic evolution equation driven by Poisson random measure
- Rescaled Whittaker driven stochastic differential equations converge to the additive stochastic heat equation
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
- Nonlinear stochastic wave equation driven by rough noise
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Well-posedness of the multidimensional fractional stochastic Navier-Stokes equations on the torus and on bounded domains
- Yamada-Watanabe results for stochastic differential equations with jumps
- Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games
- On the theorem of T. Yamada and S. Watanabe
- Local existence and non-explosion of solutions for stochastic fractional partial differential equations driven by multiplicative noise
- Stochastic equations, flows and measure-valued processes
- Particle filters with random resampling times
- The stochastic reflection problem on an infinite dimensional convex set and BV functions in a Gelfand triple
- Causal transport in discrete time and applications
- Causal transport plans and their Monge-Kantorovich problems
- Nonuniqueness for a parabolic SPDE with \(\frac{3}{4}-\varepsilon \)-Hölder diffusion coefficients
- Pathwise uniqueness for the stochastic heat equation with Hölder continuous drift and noise coefficients
- A theorem dual to Yamada-Watanabe theorem for stochastic evolution equations
- Existence and uniqueness of solutions to stochastic functional differential equations in infinite dimensions
- The dual Yamada-Watanabe theorem for mild solutions to stochastic partial differential equations
- Particle systems with coordination
- On \(\Lambda\)-Fleming-Viot processes with general frequency-dependent selection
- On pricing rules and optimal strategies in general Kyle-Back models
- Ergodicity for the stochastic quantization problems on the 2D-torus
- A stochastic analysis approach to lattice Yang-Mills at strong coupling
- Stochastic 3D Leray-\(\alpha\) model with fractional dissipation
- Strong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-type
- Global-in-time probabilistically strong and Markov solutions to stochastic 3D Navier-Stokes equations: existence and nonuniqueness
- On the 3D Navier-Stokes equations with a linear multiplicative noise and prescribed energy
- Nonuniqueness in law of stochastic 3D Navier-Stokes equations
- Regular solutions for multiplicative stochastic Landau-Lifshitz-Gilbert equation and blow-up phenomena
- Momentum estimates and ergodicity for the 3D stochastic cubic Ginzburg-Landau equation with degenerate noise
- The stochastic Klausmeier system and a stochastic Schauder-Tychonoff type theorem
- Local strong solutions to the stochastic third grade fluid equations with Navier boundary conditions
- On weak solutions of forward-backward SDEs
- SPDEs with non-Lipschitz coefficients and nonhomogeneous boundary conditions
- Itô's formula for flows of conditional measures on semimartingales
- Large deviation principles for stochastic nonlinear Schrödinger equations driven by Lévy noise
- The Wasserstein space of stochastic processes
- Langevin dynamics of lattice Yang-Mills-Higgs and applications
- Strong solutions of fractional Brownian sheet-driven stochastic differential equations with integrable drift
- On the local well-posedness of fractionally dissipated primitive equations with transport noise
- Pathwise uniqueness for multiplicative Young and rough differential equations driven by fractional Brownian motion
- Adapted Wasserstein distance between the laws of SDEs
- Global well-posedness and enhanced dissipation for the 2D stochastic Nernst-Planck-Navier-Stokes equations with transport noise
- Denseness of biadapted Monge mappings
- Hydrodynamic limits of non-Markovian interacting particle systems on sparse graphs
- Pathwise uniqueness for stochastic heat equations with Hölder continuous coefficients: The white noise case
- On invariance of observability for BSDEs and its applications to stochastic control systems
- The Yamada-Watanabe-Engelbert theorem for SPDEs in Banach spaces
- A Schauder–Tychonoff fixed-point approach for nonlinear Lévy driven reaction–diffusion systems
- A stochastic Schauder-Tychonoff type theorem and its applications
- On exceptional times for generalized Fleming-Viot processes with mutations
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