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SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES

Part of: Stochastic analysis

Published online by Cambridge University Press:  08 September 2023

YUZURU INAHAMA Open the ORCID record for YUZURU INAHAMA [Opens in a new window]
YUZURU INAHAMA*
Affiliation:
Faculty of Mathematics Kyushu University 744 Motooka, Nishi-ku Fukuoka 819-0395, Japan
*
inahama@math.kyushu-u.ac.jp
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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.

MSC classification

Secondary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H10: Stochastic ordinary differential equations

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Type
Article
Information
Nagoya Mathematical Journal , Volume 253 , March 2024 , pp. 241 - 264
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Copyright
© The Author(s), 2023. Published by Cambridge University Press on behalf of Foundation Nagoya Mathematical Journal

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Footnotes

The author is supported by Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research (Grant No. 20H01807).

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