On the support of solutions of stochastic differential equations with path-dependent coefficients

Autor:	Cont, Rama, Kalinin, Alexander
Rok vydání:	2018
Předmět:	Mathematics - Probability Mathematics - Functional Analysis 60H10 28C20 34K50
Zdroj:	Stochastic processes and their applications, Volume 129 (2019)
Druh dokumentu:	Working Paper
DOI:	10.1016/j.spa.2019.07.015
Popis:	Given a stochastic differential equation with path-dependent coefficients driven by a multidimensional Wiener process, we show that the support of the law of the solution is given by the image of the Cameron-Martin space under the flow of mild solutions to a system of path-dependent ordinary differential equations. Our result extends the Stroock-Varadhan support theorem for diffusion processes to the case of stochastic differential equations with path-dependent coefficients. The proof is based on functional Ito calculus. Comment: 42 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1806.08988 Zobrazit plný text záznamu View this record from Arxiv