Title of article :
Support theorem for jump processes
Author/Authors :
Simon، نويسنده , , Thomas، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
Let X be the solution of an Itô differential equation with jumps over Rd. Under some auxiliary assumptions on the parameters of the equation, we characterize the support of the law of X in the Skorohod space D 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
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications