On approximate continuity and the support of reflected stochastic differential equations

Citation
Ren, Jiagang et Wu, Jing, On approximate continuity and the support of reflected stochastic differential equations, Annals of probability (Online) , 44(3), 2016, pp. 2064-2116
ISSN journal
2168894X
Volume
44
Issue
3
Year of publication
2016
Pages
2064 - 2116
Database
ACNP
SICI code
Abstract
In this paper we prove an approximate continuity result for stochastic differential equations with normal reflections in domains satisfying Saisho.s conditions, which together with the Wong.Zakai approximation result completes the support theorem for such diffusions in the uniform convergence topology. Also by adapting Millet and Sanz-Solé.s idea, we characterize in Hölder norm the support of diffusions reflected in domains satisfying the Lions.Sznitman conditions by proving limit theorems of adapted interpolations. Finally we apply the support theorem to establish a boundary-interior maximum principle for subharmonic functions.