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 costs; non-semimartingale; Brownian semistationary process; conditional full support

Mathematics Subject Classification ID

60G48: Generalizations of martingales

91G80: Financial applications of other theories

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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Cites Work

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• 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