Support theorem for diffusion processes on Hilbert spaces (Q2641005)
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English | Support theorem for diffusion processes on Hilbert spaces |
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Support theorem for diffusion processes on Hilbert spaces (English)
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1990
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The author proves support theorem for the diffusion process X(t) on a Hilbert space H satisfying the following Itô's S.D.E.: \[ dX(t)=\sigma (X(t))dW(t)+b(X(t))dt, \] where \(\sigma\) is a Hilbert-Schmidt operator on H, b is a \(C^{\infty}\)-vector field on H and W(t) is a cylindrical Brownian motion on H. The difficult point of the extension of the Stroock-Varadhan's result to the Hilbert space case is that the Stratonovich correction term diverges in general. The main result of this paper states that if the Stratonovich correction term converges very well, then the support theorem holds as well as finite-dimensional cases.
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support theorem
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diffusion process
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Hilbert-Schmidt operator
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Stratonovich correction term
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