Support theorem for jump processes

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.

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Year of publication:	2000
Authors:	Simon, Thomas
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 89.2000, 1, p. 1-30
Publisher:	Elsevier
Keywords:	Lévy measure Markov property Support theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875853