On approximate continuity and the support of reflected stochastic differential equations

DOI10.1214/15-AOP1018zbMATH Open1347.60072arXiv1606.01618OpenAlexW3104299460MaRDI QIDQ726801FDOQ726801

Authors: Jing Wu, Jiagang Ren 

Publication date: 14 July 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper we prove an approximate continuity result for stochastic differential equations with normal reflections in domains satisfying Saisho's conditions, which together with the Wong-Zakai approximation result completes the support theorem for such diffusions in the uniform convergence topology. Also by adapting Millet and Sanz-Sol'{e}'s idea, we characterize in H"{o}lder norm the support of diffusions reflected in domains satisfying the Lions-Sznitman conditions by proving limit theorems of adapted interpolations. Finally we apply the support theorem to establish a boundary-interior maximum principle for subharmonic functions.

Full work available at URL: https://arxiv.org/abs/1606.01618

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zbMATH Keywords

maximum principlediffusionslimit theoremreflected stochastic differential equationsapproximate continuitysupport problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cited In (14)

• Wong-Zakai approximations and center manifolds of stochastic differential equations
• Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
• Càdlàg rough differential equations with reflecting barriers
• Support theorem for stochastic differential equations with Sobolev coefficients
• On approximations for reflected SDEs and SPDEs with Neumann boundary conditions
• Rough differential equations containing path-dependent bounded variation terms
• Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions
• Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions
• A support theorem for stochastic differential equations driven by a fractional Brownian motion
• Well-posedness and stability analysis of two classes of generalized stochastic volatility models
• Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows
• Multi-dimensional path-dependent forward-backward stochastic variational inequalities
• SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
• Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations

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