Support Theorem for Lévy-driven Stochastic Differential Equations

Oleksii Kulyk ()
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Oleksii Kulyk: Wrocław University of Science and Technology

Journal of Theoretical Probability, 2023, vol. 36, issue 3, 1720-1742

Abstract: Abstract We provide a support theorem for the law of the solution to a stochastic differential equation (SDE) with jump noise. This theorem applies to quite general Lévy-driven SDEs and is illustrated by examples with rather degenerate jump noises, where the theorem leads to an informative description of the support.

Keywords: Stochastic differential equation; Lévy noise; Topological support; Topological irreducibility; Strong maximum principle; 60H10; 60G51 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01223-8

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