Approximation and support theorems in modulus spaces
Consider the stochastic multidimensional Stratonovich differential equations \[ dx(t) = b(t,x(t)) + \sigma(t,x(t)) \circ dm(t),\quad x(0) = x_ 0, \] \[ dx_ n(t) = b(t,x_ n(t)) + \sigma(t,x_ n(t)) \circ dm_ n(t), \quad x_ n(0) = x_ 0, \] with continuous driving \(d\)-dimensional semimartingales \(m\) and \(m_ n\). The authors establish the approximation theorem on convergence of the solutions \(x_ n\) to \(x\) in the modulus spaces \(\mathcal M\) given the convergence of \(m_ n\) to \(m\) in \(C([0,1]; \mathbb{R}^ d)\) in probability. The space \({\mathcal M} = {\mathcal M}(\varphi, \psi, p)\), a natural generalization of both Hölder and Besov spaces, is defined as the space of Borel functions \(f : [0,T] \to \mathbb{R}^ m\) having the finite norm \[ | f|_{\varphi, \psi, p} := \sup_{t \in [0,T]} | f(t) | + \sup_{{t \neq s} \atop {t \in [0,T]}} {| f(t) - f(s)|\over \varphi(| t - s|)} + \sup_{t \in [0,T]} {\int^ 1_ 0 | f(t - s) - f(t)|^ p dt)^{1/p}\over \psi (| s|)}, \] where the functions \(\varphi\), \(\psi \in C[0,T]\) are strictly positive on \((0,T]\). From the approximation result the authors deduce the Stroock-Varadhan support theorem in modulus spaces for a stochastic differential equation driven by a \(d\)-dimensional standard Wiener process.
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