On the approximation of stochastic differential equation and on Stroock- Varadhan's support theorem (Q923497): Difference between revisions
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Revision as of 15:28, 10 February 2024
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English | On the approximation of stochastic differential equation and on Stroock- Varadhan's support theorem |
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On the approximation of stochastic differential equation and on Stroock- Varadhan's support theorem (English)
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1990
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The celebrated Stroock-Varadhan's support theorem for diffusions is extended to the following case: \(x_ t\) is a solution of the stochastic differential equation \[ dx_ t=b(t,x_ t)dt+\sum^{l}_{i=1}\sigma_ i(t,x_ t)\circ dm^ i_ t, \] where \(m_ t\) is a continuous semimartingale, b and \(\sigma\) are supposed to be unbounded, Lipschitz continuous and with at most linear growth. Under additional technical assumptions, the author gives the complete description of the support of the law of \(x_ t\).
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Stroock-Varadhan's support theorem for diffusions
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stochastic differential equation
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