Imperial College London
Alternate

ProfessorRamaCont

Faculty of Natural Sciences, Department of Mathematics

Visiting Professor
 
 
 
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Contact

 

+44 (0)20 7594 0802r.cont Website

 
 
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Location

 

806Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Cont:2019:10.1016/j.spa.2019.07.015,
author = {Cont, R and Kalinin, A},
doi = {10.1016/j.spa.2019.07.015},
journal = {Stochastic Processes and their Applications},
title = {On the support of solutions to stochastic differential equations with  path-dependent coefficients},
url = {http://dx.doi.org/10.1016/j.spa.2019.07.015},
year = {2019}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - Given a stochastic differential equation with path-dependent coefficientsdriven by a multidimensional Wiener process, we show that the support of thelaw of the solution is given by the image of the Cameron-Martin space under theflow of the solutions of a system of path-dependent (ordinary) differentialequations. Our result extends the Stroock-Varadhan support theorem fordiffusion processes to the case of SDEs with path-dependent coefficients. Theproof is based on the Functional Ito calculus and interpolation estimates forstochastic processes in Holder norm.
AU  - Cont,R
AU  - Kalinin,A
DO  - 10.1016/j.spa.2019.07.015
PY  - 2019///
SN  - 0304-4149
TI  - On the support of solutions to stochastic differential equations with  path-dependent coefficients
T2  - Stochastic Processes and their Applications
UR  - http://dx.doi.org/10.1016/j.spa.2019.07.015
UR  - http://arxiv.org/abs/1806.08988v1
UR  - http://hdl.handle.net/10044/1/71122
ER  -
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