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Stroock-Varadhan support theorem (suppL(Y)={yh:h∈H01​}​)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Stochastic calculus Stochastic differential equation
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For smooth bounded vector fields, the support of a Stratonovich diffusion in uniform path topology is the closure of solutions to the controlled ordinary differential equation with the same drift and controls in the Cameron-Martin space of Wiener measure. The support of enhanced Brownian motion and the universal limit theorem prove this through continuity of the enhanced solution map. For an equation written in Itô form, the controlled drift is the Itô drift minus 21​∑i​DVi​Vi​.

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  • Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 31 / 4 / ii / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 32 / 4 / Solution

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