Support theorem for jump processes

Thomas Simon

Stochastic Processes and their Applications, 2000, vol. 89, issue 1, 1-30

Abstract: Let X be the solution of an Itô differential equation with jumps over . Under some auxiliary assumptions on the parameters of the equation, we characterize the support of the law of X in the Skorohod space as the closure of the set of solutions to piecewise ordinary differential equations. This gives an analogue in the Poisson space to the classical Stroock-Varadhan support theorem.

Keywords: Lévy; measure; Markov; property; Support; theorem (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (5)

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