On the support of solutions to stochastic differential equations with path-dependent coefficients.

Given a stochastic differential equation with path-dependent coefficients driven by a multidimensional Wiener process, we show that the support of the law of the solution is given by the image of the Cameron–Martin space under the flow of mild solutions to a system of path-dependent ordinary differential equations. Our result extends the Stroock–Varadhan support theorem for diffusion processes to the case of SDEs with path-dependent coefficients. The proof is based on functional Itô calculus. [ABSTRACT FROM AUTHOR]