The support theorem for diffusion processes with boundary condition (Q1917684)

The author describes the support of diffusions taking their values in a regular open set \(D\) included by \(\mathbb{R}^{d+ 1}\), with boundary conditions. Namely \((x_t)\) is the solution stated at \(x\) of the following system: \[ dx_t= 1_D(x_t) \beta(x_t) dt+ 1_D(x_t)\sigma_i(x_t)\circ dw^i_t+ 1_{\partial D}(x_t)\nu(x_t) da_t+ 1_{\partial D} (x_t) \mu_j(x_t)\circ dM^j_t;\tag{1} \] \[ a_t= \int^t_0 1_{\partial D}(x_s) da_s,\quad \int^t_0 1_{\partial D}(x_s) ds= 0.\tag{2} \] The coefficients are supposed to be of class \(C^\infty\) with bounded derivatives, \(\circ\) denotes the Stratonovich integration. The author gives the following extension of the theorem of support stated by Stroock and Varadhan when \(D= \mathbb{R}^{d+ 1}\): let \(P_x\) be the distribution of \((x_t, a_t)_{0\leq t\leq T}\), \((x^H, a^H)\) denotes the solution started at \((x, 0)\) of (1) + (2), where \(w\) (resp. \(M\)) is replaced by piecewise \(C^2\) function \(h\) (resp. \(\gamma\)), \(H= (h, \gamma)\), then the support of \(P_x\) is the closure of \(\{(x^H_t, a^H_t)_{0\leq t\leq T}\); \(H\) being piecewise \(C^2\) functions on \([0, T]\}\).