On the approximation of stochastic differential equation and on Stroock- Varadhan's support theorem
type: Item
instance of: scholarly article
title: On the approximation of stochastic differential equation and on Stroock- Varadhan's support theorem
zbMATH Open document ID: 0711.60051
DOI: 10.1016/0898-1221(90)90082-U
author: T. Pröhle
author: István Gyöngy
publication date: 1990-01-01T00:00:00Z
review text: The celebrated Stroock-Varadhan's support theorem for diffusions is extended to the following case: \(x_ t\) is a solution of the stochastic differential equation \[ dx_ t=b(t,x_ t)dt+\sum^{l}_{i=1}\sigma_ i(t,x_ t)\circ dm^ i_ t, \] where \(m_ t\) is a continuous semimartingale, b and \(\sigma\) are supposed to be unbounded, Lipschitz continuous and with at most linear growth. Under additional technical assumptions, the author gives the complete description of the support of the law of \(x_ t\).
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 4169779
zbMATH Keywords: Stroock-Varadhan's support theorem for diffusions
zbMATH Keywords: stochastic differential equation
reviewed by: Mireille Chaleyat-Maurel
MaRDI profile type: Publication
Wikidata QID: Q115362900
cites work: On the approximation of stochastic differential equations
cites work: Q3959169
cites work: Q3715981
cites work: S p stability of solutions of symmetric stochastic differential equations with discontinuous driving semimartingales
cites work: Q5670045
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 4169779