Support theorem for pinned diffusion processes

2022/11/10 by Yuzuru Inahama, Inahama, Yuzuru · 2 citations
Economics, Econometrics and Finance · Mathematics · #60H07 #60H10 #60L90 #FOS: Mathematics #Probability (math.PR) #Spectral Theory in Mathematical Physics #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2211.05394

openalex publication_date 2022/11/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we prove a support theorem of Stroock-Varadhan type for pinned diffusion processes. To this end we use two powerful results from stochastic analysis. One is quasi-sure analysis for Brownian rough path. The other is Aida-Kusuoka-Stroock's positivity theorem for the densities of weighted laws of non-degenerate Wiener functionals.

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