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Teoriya Veroyatnostei i ee Primeneniya, 2001, Volume 46, Issue 3, Pages 483–497
DOI: https://doi.org/10.4213/tvp3897
(Mi tvp3897)
 

This article is cited in 52 scientific papers (total in 52 papers)

On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations

A. S. Cherny

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract: We prove that the uniqueness in law for an SDE
\begin{equation} dX_t^i=b_t^i(X)\,dt+\sum_{j=1}^m\sigma_t^{ij}(X)\,dB_t^j, \qquad X_0^i=x^i,\quad i=1,\dots,n,\quad \tag{1} \end{equation}
implies the uniqueness of the joint distribution of a pair $(X,B)$. Moreover, we prove that the uniqueness in law for (1), together with the strong existence, guarantees the pathwise uniqueness. This result is somehow “dual” to the theorem of Yamada and Watanabe.
Keywords: stochastic differential equations, weak solutions, strong solutions, uniqueness in law, pathwise uniqueness, theorem of Yamada and Watanabe.
Received: 18.05.2001
English version:
Theory of Probability and its Applications, 2002, Volume 46, Issue 3, Pages 406–419
DOI: https://doi.org/10.1137/S0040585X97979093
Bibliographic databases:
Language: Russian
Citation: A. S. Cherny, “On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations”, Teor. Veroyatnost. i Primenen., 46:3 (2001), 483–497; Theory Probab. Appl., 46:3 (2002), 406–419
Citation in format AMSBIB
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\by A.~S.~Cherny
\paper On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
\jour Teor. Veroyatnost. i Primenen.
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\vol 46
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\pages 483--497
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\transl
\jour Theory Probab. Appl.
\yr 2002
\vol 46
\issue 3
\pages 406--419
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  • https://www.mathnet.ru/eng/tvp/v46/i3/p483
  • This publication is cited in the following 52 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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