The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
نویسنده
چکیده
A general version of the Yamada-Watanabe and Engelbert results relating existence and uniqueness of strong and weak solutions for stochastic equations is given. The results apply to a wide variety of stochastic equations including classical stochastic differential equations, stochastic partial differential equations, and equations involving multiple time transformations.
منابع مشابه
Weak and strong solutions of general stochastic models
Typically, a stochastic model relates stochastic “inputs” and, perhaps, controls to stochastic “outputs”. A general version of the Yamada-Watanabe and Engelbert theorems relating existence and uniqueness of weak and strong solutions of stochastic equations is given in this context. A notion of compatibility between inputs and outputs is critical in relating the general result to its classical f...
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