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On Approximate Continuity and the Support of Reflected Stochastic Differential Equations by Ren, Jiagang; Wu, Jing is a scholarly article available to read on EtoBox.

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In this paper we prove an approximate continuity result for stochastic differential equations with normal reflections in domains satisfying Saisho's conditions, which together with the Wong-Zakai approximation result completes the support theorem for such diffusions in the uniform convergence topology. Also by adapting Millet and Sanz-Sol\'{e}'s idea, we characterize in H\"{o}lder norm the support of diffusions reflected in domains satisfying the Lions-Sznitman conditions by proving limit theorems of adapted interpolations. Finally we apply the support theorem to establish a boundary-interior maximum principle for subharmonic functions.

Author

Ren, Jiagang; Wu, Jing

Published

2016

Language

EN