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Yamada-Watanabe Results for Stochastic Differential Equations with Jumps

Author

Listed:
  • Mátyás Barczy
  • Zenghu Li
  • Gyula Pap

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.

Suggested Citation

  • Mátyás Barczy & Zenghu Li & Gyula Pap, 2015. "Yamada-Watanabe Results for Stochastic Differential Equations with Jumps," International Journal of Stochastic Analysis, Hindawi, vol. 2015, pages 1-23, January.
    • Handle: RePEc:hin:jnijsa:460472
    DOI: 10.1155/2015/460472
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    Cited by:

    1. Mátyás Barczy & Zenghu Li & Gyula Pap, 2016. "Moment Formulas for Multitype Continuous State and Continuous Time Branching Process with Immigration," Journal of Theoretical Probability, Springer, vol. 29(3), pages 958-995, September.
    2. Yulin Song, 2020. "Gradient Estimates and Exponential Ergodicity for Mean-Field SDEs with Jumps," Journal of Theoretical Probability, Springer, vol. 33(1), pages 201-238, March.
    3. Ascione, Giacomo & Mehrdoust, Farshid & Orlando, Giuseppe & Samimi, Oldouz, 2023. "Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework," Applied Mathematics and Computation, Elsevier, vol. 446(C).
    4. Luo, Dejun & Wang, Jian, 2019. "Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3129-3173.
    5. Liang, Mingjie & Wang, Jian, 2020. "Gradient estimates and ergodicity for SDEs driven by multiplicative Lévy noises via coupling," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3053-3094.

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