IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v89y2000i1p1-30.html
   My bibliography  Save this article

Support theorem for jump processes

Author

Listed:
  • Simon, Thomas

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.

Suggested Citation

  • Simon, Thomas, 2000. "Support theorem for jump processes," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 1-30, September.
    • Handle: RePEc:eee:spapps:v:89:y:2000:i:1:p:1-30
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(00)00008-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. D. O. Ivanenko & A. M. Kulik, 2015. "Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE’s," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 107-123, March.
    2. Qiao, Huijie & Wu, Jiang-Lun, 2021. "Supports for degenerate stochastic differential equations with jumps and applications," Statistics & Probability Letters, Elsevier, vol. 177(C).
    3. Oleksii Kulyk, 2023. "Support Theorem for Lévy-driven Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1720-1742, September.
    4. Masuda, Hiroki, 2007. "Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 35-56, January.
    5. Kulik, Alexey M., 2009. "Exponential ergodicity of the solutions to SDE's with a jump noise," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 602-632, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:89:y:2000:i:1:p:1-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.