Brownian moving averages have conditional full support

DOI10.1214/07-AAP502zbMATH Open1151.91490OpenAlexW3106238741MaRDI QIDQ957520FDOQ957520

Authors B. E. Eshmatov 

Publication date 27 November 2008

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.2040

zbMATH Keywords

Titchmarsh convolution theoremconditional full supportBrownian moving average

Mathematics Subject Classification ID

Gaussian processes (60G15)

Abstract: We prove that any Brownian moving average [X_t=int_{-infty}^t�igl(f(s-t)-f(s)�igr) dB_s,qquad tge0,] satisfies the conditional full support condition introduced by Guasoni, R'{a}sonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491--520].

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Cites work

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Cited in

(19)

• Absence of arbitrage in a general framework
• Asymptotics for volatility derivatives in multi-factor rough volatility models
• Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift
• The absence of arbitrage property in mixed fractional Bownian motion setting
• Slow-fast systems with fractional environment and dynamics
• Perpetual integral functionals of multidimensional stochastic processes
• Conditional full support of Gaussian processes with stationary increments
• Sticky processes, local and true martingales
• On the martingale property in the rough Bergomi model
• BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
• Pathwise large deviations for the rough Bergomi model
• Stochastic integrals and conditional full support
• Consistent price systems in multiasset markets
• A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
• On the conditional small ball property of multivariate Lévy-driven moving average processes
• On the stickiness property
• Sticky Continuous Processes have Consistent Price Systems
• Conditional full support for the Brownian bridge
• On the existence of consistent price systems

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