A compact support property for infinite-dimensional SDEs with H\"older continuous coefficients

Abstract

We consider non-negative solutions to some infinite-dimensional SDEs on $\mathbb{Z}^d$ with H\"older continuous noise coefficients. We prove that if the H\"older exponent is less than $1/2$, solutions are compactly supported for almost all times, a variant of the classical compact support property for SPDEs. Our results imply that the instantaneous propagation of supports for superprocesses associated to discontinuous spatial motions is effectively sharp. We also show in a special case that the support is unbounded on a dense set of times. The proof uses a general approach which we expect can be applied to prove similar results for non-local SPDEs. It is based on an analysis of the excursions and zero sets of semimartingales whose quadratic variation satisfies a certain lower bound. As a corollary of our method, we show that the zero sets of non-negative solutions to some simple one-dimensional SDEs have positive Lebesgue measure, despite the absence of "sticky" dynamics.