Conditioning a lifted stochastic system in a product space (Q1111241)

Let \(\xi\) be the solution of an elliptic stochastic differential equation (sde) \[ d\xi_ t=X_ 0(\xi_ t)dt+\sum^{n}_{i=1}X_ i(\xi_ t)dB_ i(t) \] on an open domain \(U\subset {\mathbb{R}}^ m\). A lift of \(\xi\) is a process \(t\mapsto (\xi_ t,\eta_ t)\) in \(U\times {\mathbb{R}}^ 1\), where \[ d\eta_ t=Y_ 0(\xi_ t,\eta_ t)dt+\sum^{n}_{i=1}Y_ i(\xi_ t,\eta_ t)dB_ i(t),\quad \eta \in {\mathbb{R}}^ 1. \] The paper studies the process (\(\xi\),\(\eta)\), starting in \((\xi_ 0,\eta_ 0)\in U\times {\mathbb{R}}^ 1\), conditioned under \(\xi_ T=x_ T\), where \(T>0\) and \(x_ T\in U\) are fixed. Denote the conditioned process by \((\xi^{x_ T},\eta^{x_ T})\). An sde for \(\eta^{x_ T}\) is derived, and its nonexplosiveness is proved (problems arise at \(t=T)\). Then a ``conditioned Stroock-Varadhan support theorem'' is proved: The support of the distribution of \((\xi^{x_ T},\eta^{x_ T})\) coincides with the closure of the set of trajectories which can be realized using only those controls which steer \(\xi\) from \(x_ 0\) to \(x_ T\) at time T.