Support theorem for diffusion processes on Hilbert spaces

DOI10.2977/PRIMS/1195170570MaRDI QIDQ2641005zbMATH OpenOpenAlexFDO

Authors Shigeki Aida

Publication date 1990

Published in Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2977/prims/1195170570

zbMATH Keywords

diffusion processHilbert-Schmidt operatorStratonovich correction termsupport theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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