Conditional full support of Gaussian processes with stationary increments
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Cites work
- Brownian moving averages have conditional full support
- Consistent price systems and face-lifting pricing under transaction costs
- scientific article; zbMATH DE number 3513077 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- Introduction to probability and measure
- No arbitrage without semimartingales
- Pricing by hedging and no-arbitrage beyond semimartingales
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- The mathematics of arbitrage
- When is a linear combination of independent fBm's equivalent to a single fBm?
Cited in
(12)- Sticky processes, local and true martingales
- No arbitrage and lead-lag relationships
- Sticky Continuous Processes have Consistent Price Systems
- Consistent price systems in multiasset markets
- Absence of arbitrage in a general framework
- Stochastic integrals and conditional full support
- The absence of arbitrage property in mixed fractional Bownian motion setting
- 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
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
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