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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1994 Volume 39, Issue 3, Pages 649–653 (Mi tvp3842)

This article is cited in 3 papers

Short Communications

On the support of the solutions of stochastic differential equations

I. Gyöngy


Abstract: Let $x=(x(t))_{t\ge 0}$ be a solution of stochastic differential equation (1.1m) generated by a continuous semimartingale and let $x^\omega=(x^\omega(t))_{t\ge 0}$ be a solution of ordinary differential equation (1.1w) generated by absolutely continuous functions The paper generalizing the Strook and Varadhan result [15] shows that the topological support of distributions of the process $(x(t))_{t\ge 0}$ coincides with the closure of the solutions set $\{X^\omega:\omega \text{ are absolutely continuous functions }\}$.

Keywords: stochastic and ordinary differential equations, topological support of distributions of a process, strong solutions of stochastic equations, semimartingales.

Received: 22.03.1989

Language: English


 English version:
Theory of Probability and its Applications, 1994, 39:3, 519–523

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