Yamada-Watanabe Results for Stochastic Differential Equations with Jumps

Mátyás Barczy, Zenghu Li and Gyula Pap

International Journal of Stochastic Analysis, 2015, vol. 2015, 1-23

Abstract:

Recently, Kurtz (2007, 2014) obtained a general version of the Yamada-Watanabe and Engelbert theorems relating existence and uniqueness of weak and strong solutions of stochastic equations covering also the case of stochastic differential equations with jumps. Following the original method of Yamada and Watanabe (1971), we give alternative proofs for the following two statements: pathwise uniqueness implies uniqueness in the sense of probability law, and weak existence together with pathwise uniqueness implies strong existence for stochastic differential equations with jumps.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:460472

DOI: 10.1155/2015/460472

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