Support theorems for degenerate stochastic differential equations with jumps and applications

Huijie Qiao; Jiang-Lun Wu

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arXiv · 1810.04764

Support theorems for degenerate stochastic differential equations with jumps and applications

Huijie Qiao·Jiang-Lun Wu

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Abstract

In the paper, we are concerned with degenerate stochastic differential equations with jumps. Firstly, we establish two support theorems for the solutions of the degenerate stochastic equations, under different (sufficient) conditions. Secondly, we apply one of our support theorems to a class of degenerate stochastic evolution equations (i.e., infinite-dimensional stochastic differential equations) with jumps to get a characterisation of path-independence for the densities of their Girsanov transformations.

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Huijie Qiao, Jiang-Lun Wu. 2018-10-10. Support theorems for degenerate stochastic differential equations with jumps and applications. https://arxiv.org/abs/1810.04764

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