Support theorem for an SPDE with multiplicative noise driven by a\n cylindrical Wiener process on the real line

2018/09/16 by Timur Yastrzhembskiy, Yastrzhembskiy, Timur
Economics, Econometrics and Finance · #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1809.05965

Abstract

We prove a Stroock-Varadhan's type support theorem for a stochastic partial\ndifferential equation (SPDE) on the real line with a noise term driven by a\ncylindrical Wiener process on L₂ (\ℝ). The main ingredients of the\nproof are V. Mackevicius's approach to support theorem for diffusion processes\nand N.V. Krylov's L_p-theory of SPDEs.\n

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