BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT

DOI10.1142/S0219024911006747zbMath1218.60067arXiv1002.4774MaRDI QIDQ5198957

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

transaction costsnon-semimartingaleBrownian semistationary processconditional full support

Mathematics Subject Classification ID

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

Related Items (8)

An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market ⋮ Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes ⋮ Sticky Continuous Processes have Consistent Price Systems ⋮ A central limit theorem for the realised covariation of a bivariate Brownian semistationary process ⋮ Stationary infinitely divisible processes ⋮ Pathwise Decompositions of Brownian Semistationary Processes ⋮ On the conditional small ball property of multivariate Lévy-driven moving average processes ⋮ Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

Cites Work

• Brownian moving averages have conditional full support
• A general version of the fundamental theorem of asset pricing
• Consistent price systems and face-lifting pricing under transaction costs
• Stochastic Integrals and Conditional Full Support
• Abstract Wiener processes and their reproducing Kernel Hilbert spaces
• Unnamed Item

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