Conditional Full Support of Gaussian Processes with Stationary Increments
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Publication:3014992
DOI10.1239/jap/1308662644zbMath1219.60039OpenAlexW2000282375MaRDI QIDQ3014992
Dario Gasbarra, Harry van Zanten, Tommi Sottinen
Publication date: 8 July 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1308662644
Gaussian processspectral measureconditional full supportconditional lawprocesses with stationary increments
Related Items (12)
Sticky Continuous Processes have Consistent Price Systems ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ Sticky processes, local and true martingales ⋮ Consistent price systems in multiasset markets ⋮ Absence of arbitrage in a general framework ⋮ A study of the absence of arbitrage opportunities without calculating the risk-neutral probability ⋮ On the conditional small ball property of multivariate Lévy-driven moving average processes ⋮ On the Existence Of Consistent Price Systems ⋮ Stochastic Integrals and Conditional Full Support ⋮ No arbitrage and lead-lag relationships ⋮ The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting
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- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- When is a linear combination of independent fBm's equivalent to a single fBm?
- Brownian moving averages have conditional full support
- No arbitrage without semimartingales
- Pricing by hedging and no-arbitrage beyond semimartingales
- Consistent price systems and face-lifting pricing under transaction costs
- Introduction to probability and measure
- The mathematics of arbitrage
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