Speaker : Prof. Jiagang Ren (Sun Yat-Sen University)
Title : Approximate Continuity and Support Theorem for Reflected Diffusions
Time : 2014-05-26 (Mon) 14:30 -
Place : Seminar Room 617, Institute of Mathematics (NTU Campus)
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.