A simple proof of the support theorem for diffusion processes

Annie Millet; Marta Sanz-Solé

Séminaire de probabilités de Strasbourg (1994)

  • Volume: 28, page 36-48

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Millet, Annie, and Sanz-Solé, Marta. "A simple proof of the support theorem for diffusion processes." Séminaire de probabilités de Strasbourg 28 (1994): 36-48. <http://eudml.org/doc/113887>.

@article{Millet1994,
author = {Millet, Annie, Sanz-Solé, Marta},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {support theorem; Hölder norm; Cameron-Martin space; Girsanov's theorem},
language = {eng},
pages = {36-48},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A simple proof of the support theorem for diffusion processes},
url = {http://eudml.org/doc/113887},
volume = {28},
year = {1994},
}

TY - JOUR
AU - Millet, Annie
AU - Sanz-Solé, Marta
TI - A simple proof of the support theorem for diffusion processes
JO - Séminaire de probabilités de Strasbourg
PY - 1994
PB - Springer - Lecture Notes in Mathematics
VL - 28
SP - 36
EP - 48
LA - eng
KW - support theorem; Hölder norm; Cameron-Martin space; Girsanov's theorem
UR - http://eudml.org/doc/113887
ER -

References

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  1. [1] S. Aida, S. Kusuoka AND D. Stroock, On the Support of Wiener Functionals, Asymptotic problems in probability Theory: Wiener functionals and asymptotics, Longman Sci. & Tech., PitmanResearch Notes in Math. Series 294, N.Y., 3-34, (1993). Zbl0790.60047
  2. [2] G. Ben Arous AND M. Gradinaru, Normes Höldériennes et support des diffusions, C.R. Acad. Sc.Paris, t. 316, Série 1 n. 3, 283-286, (1993). Zbl0768.60067MR1205200
  3. [3] G. Ben Arous, M. Gradinaru AND M. Ledoux, Hölder norms and the support theorem for diffusions, preprint. Zbl0814.60075
  4. [4] Z. Ciesielski, On the isomorphisms of the spaces Hα and m, Bull. Acad. Pol. Sc., 8, . 217-222 (1960), Zbl0093.12301MR132389
  5. [5] I. Gyöngy AND T. Pröhle, On the approximation of stochastic differential equations and on Stroock-Varadhan's support theorem, Computers Math. Applic, 19, 65-70 (1990). Zbl0711.60051MR1026782
  6. [6] N. Ikeda AND S. Watanabe, Stochastic Differential Equations and Diffusion Processes, Amsterdam, Oxford, New York: North Holland; Tokyo: Kodansha1981. Zbl0495.60005MR637061
  7. [7] V. Mackevicius, On the Support of the Solution of Stochastic Differential Equations, Lietuvos Matematikow RinkingsXXXVI (1), 91-98 (1986). Zbl0621.60062MR847207
  8. [8] A. Millet AND M. Sanz-Solé, The Support of an Hyperbolic Stochastic Partial Differential Equation, Probability Theory and Related Fields, to appear, Prépublication du Laboratoire de Probabilités de l'Université Paris VI n.° 150, 1993. MR1262971
  9. [9] D.W. Stroock AND S.R.S. Varadhan, On the Support of Diffusion Processes with Applications to the Strong Maximum Principle, Proc. Sixth Berkeley Symp. Math. Statist. Prob.III, 333-359, Univ. California Press, Berkeley, 1972. Zbl0255.60056MR400425
  10. [10] D.W. Stroock AND S.R.S. Varadhan, On Degenerate Elliptic-Parabolic Operators of Second Order and their Associated Diffusions, Comm. on Pure and Appl. Math. Vol XXV, 651-713 (1972). Zbl0344.35041MR387812
  11. [11] D.W. Stroock AND S.R.S. Varadhan, Multidimensional processes, Springer-Verlag, Berlin Heildelberg, New York, 1979. Zbl0426.60069MR532498

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