Conditional full support for fractional Brownian motion

MaRDI QIDQ4975209zbMATH OpenFDO

Authors Soumia Dani, Abdeldjebbar Kandouci, A. A. Bouchentouf

Publication date 4 August 2017

Full work available at URL http://www.pvamu.edu/mathematics/wp-content/uploads/sites/49/02_R850_AAM_Bouchentouf_AB_101815_Posted_061217_pp_23_34.pdf

zbMATH Keywords

conditional full supportfractional Brownian motionstochastic integral

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Stochastic functional-differential equations (34K50) Diffusion processes and stochastic analysis on manifolds (58J65) Controllability (93B05)

Recommendations

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Cited in

(8)

• Conditional full support for the Brownian bridge
• Conditional full support of Gaussian processes with stationary increments
• Conditional distributions of processes related to fractional Brownian motion
• 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
• BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
• Brownian moving averages have conditional full support

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