BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
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Publication:5198957
DOI10.1142/S0219024911006747zbMath1218.60067arXiv1002.4774MaRDI QIDQ5198957
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
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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- 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