BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT

DOI10.1142/S0219024911006747MaRDI QIDQ5198957zbMATH OpenFDO

Authors Mikko S. Pakkanen

Publication date 10 August 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.4774

zbMATH Keywords

Brownian semistationary processconditional full supportnon-semimartingaletransaction costs

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)

Abstract: In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary process has conditional full support, a property introduced by Guasoni, R'asonyi, and Schachermayer [Ann. Appl. Probab., 18 (2008) pp. 491--520]. By the results of Guasoni, R'asonyi, and Schachermayer, this property has two important implications. It ensures, firstly, that the process admits no free lunches under proportional transaction costs, and secondly, that it can be approximated pathwise (in the sup norm) by semimartingales that admit equivalent martingale measures.

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Cites work

• A general version of the fundamental theorem of asset pricing
• Abstract Wiener processes and their reproducing Kernel Hilbert spaces
• Brownian moving averages have conditional full support
• Consistent price systems and face-lifting pricing under transaction costs
• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• Stochastic integrals and conditional full support

Cited in

(13)

• An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market
• Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
• A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
• Sticky Continuous Processes have Consistent Price Systems
• Conditional full support for the Brownian bridge
• Conditional full support of Gaussian processes with stationary increments
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Stochastic integrals and conditional full support
• Conditional full support for fractional Brownian motion
• On the conditional small ball property of multivariate Lévy-driven moving average processes
• Pathwise decompositions of Brownian semistationary processes
• Stationary infinitely divisible processes
• Brownian moving averages have conditional full support

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