機率研討會
主講者: 任佳剛 教授 (廣州中山大學)
講題: Approximate Continuity and Support Theorem for Reflected Diffusions
時間: 2014-05-26 (Mon.)  14:30 -
地點: 數學所 617 研討室 (台大院區)
Abstract: In this talk we prove the approximate continuity at the Cameron-Martin points of the solutions to stochastic differential equations with normal reflections in domains satisfying Saisho's conditions, which together with the convergence of the Wong-Zakai approximation (proved recently by Aida and Sasaki) yields the support theorem for such diffusions in the uniform convergence topology. Furthermore, by using an idea of Millet and Sanz-Sole, we characterize the support of such general reflected diffusions in Holder norms by proving a limit theorem of adapted interpolations. Finally we apply the support theorem to establish the maximum principle for subharmonic functions.
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