Abstract
We prove that the uniqueness in law for an SDE 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,\ldots,n, \leqno(*) implies the uniqueness of the joint distribution of a pair $(X,B)$. Moreover, we prove that the uniqueness in law for~$(*)$, together with the strong existence, guarantees the pathwise uniqueness. This result is somehow "dual" to the theorem of Yamada and Watanabe.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.