Support of the solution of a stochastic differential equation
Let (\(\Omega\),\({\mathcal F},P)\) be a probability space, \(F=\{{\mathcal F}_ t;t\geq 0\}^ a \)right-continuous flow of P-complete \(\sigma\)-algebras, \(Z=Z(t)\) (t\(\geq 0)\) an \({\mathcal F}\)-compatible r-dimensional continuous semimartingale with \(Z(0)=0\), \(\sigma\) (\(\cdot)\) a \(d\times r\)-matrix function and b(\(\cdot)\) a d-vector function such that \(\sigma_{ij}\), \(b_ i\in C^ 3_ b({\mathbb{R}}^ d)\). Consider the stochastic differential equation \[ X(t)=x+\int^{t}_{0}\sigma (X(s))dZ(s)+\int^{t}_{0}b(X(s))ds, \] where the first integral is the symmetric stochastic Stratonovich integral. Let \({\mathcal S}(P_ x)\) denote the topological support of the distribution \(P_ x\) of the solution X of the equation in the space \(C([0,\infty),{\mathbb{R}}^ d)\) with the topology of uniform convergence on finite intervals and let \({\mathcal S}^ x=\{\xi (x,z):z\in {\mathcal S}\}\), where \(\xi =\xi (x,z)\) is the solution of \[ \xi (t)=x+\int^{t}_{0}\sigma (\xi (s))dz(s)+\int^{t}_{0}b(\xi (s))ds \] and \({\mathcal S}=\{z\in C^ 1([0,\infty),{\mathbb{R}}^ d):\) \(z(0)=0\}\). For some conditions on the semimartingale, the author proves that \({\mathcal S}(P_ x)\) and the closure \(\bar {\mathcal S}^ x\) of \({\mathcal S}^ x\) coincide. This extends a theorem of Stroock and Varadhan proven for the case where Z is an r-dimensional Brownian motion.
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