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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 3, Pages 649–653
(Mi tvp3842)
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This article is cited in 3 scientific papers (total 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
Citation:
I. Gyöngy, “On the support of the solutions of stochastic differential equations”, Teor. Veroyatnost. i Primenen., 39:3 (1994), 649–653; Theory Probab. Appl., 39:3 (1994), 519–523
Linking options:
https://www.mathnet.ru/eng/tvp3842 https://www.mathnet.ru/eng/tvp/v39/i3/p649
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