This is the support theorem for solutions to SDEs. Let X , x, ε, and t0 be as in (2) of Exercise 25.4. Suppose ψ : [0,t 0 ] → Rd is a continuous function with ψ(0) = x. Use the Girsanov theorem to...

This is the support theorem for solutions to SDEs. Let X , x, ε, and t0 be as in (2) of Exercise 25.4. Suppose ψ : [0,t₀] → Rd is a continuous function with ψ(0) = x. Use the Girsanov theorem to prove that there exists c > 0 such that