Stochastic integrals and conditional full support
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Publication:4933191
DOI10.1239/JAP/1285335401zbMATH Open1216.60047arXiv0811.1847OpenAlexW3101993491MaRDI QIDQ4933191FDOQ4933191
Authors: Mikko S. Pakkanen 
Publication date: 12 October 2010
Published in: Journal of Applied Probability (Search for Journal in Brave)
Abstract: We present conditions that imply the conditional full support (CFS) property, introduced by Guasoni, R'asonyi, and Schachermayer [Ann. Appl. Probab., 18 (2008), pp. 491--520], for processes Z := H + K cdot W, where W is a Brownian motion, H is a continuous process, and processes H and K are either progressive or independent of W. Moreover, in the latter case under an additional assumption that K is of finite variation, we present conditions under which Z has CFS also when W is replaced with a general continuous process with CFS. As applications of these results, we show that several stochastic volatility models and the solutions of certain stochastic differential equations have CFS.
Full work available at URL: https://arxiv.org/abs/0811.1847
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