The sentence is grammatically correct. And to make it short, you can remove a few repeated and unhelpful words:

> Throughout the play, characters evoke the central theme in their own ways, Hamlet through his madness, Claudis his ‘murder most foul’, Polonius his hypocrisy, Ophelia her impurity, and Gertrude her incests. 

You can also sharpen it up by using proper names instead of common names. But this would depend on your prior sentences. Perhaps you don't need those prior sentences explaining what the play is and what the central themes are. 

> Throughout *Hamlet*, characters evoke themes of despair and revenge in their own ways, Hamlet through his madness, Claudis his ‘murder most foul’, Polonius his hypocrisy, Ophelia her impurity, and Gertrude her incests.