Approximation and support theorems in modulus spaces |
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Authors: | István Gyöngy David Nualart Marta Sanz-Sole |
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Institution: | (1) Department of Probability and Statistics, Eötvös University Budapest, Múzeum krt 6-8, H-1088 Budapest, Hungary;(2) Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, E-08007 Barcelona, Spain |
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Abstract: | Summary We prove an approximation theorem for stochastic differential equations, under rather weak smoothness conditions on the coefficients, when the driving semimartingales are approximated by continuous semimartingales, in probability, and the solutions are considered in several Banach spaces, defined in terms of different types of the modulus of continuity. Hence Stroock-Varadhan's support theorem is obtained in these spaces, in particular, in appropriate Besov and Hölder spaces.Partially supported by the Foundation of National Research n° 2290Partially supported by the DGICYT grant no PB 90-0452 |
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Keywords: | 60H10 |
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