Brownian moving averages have conditional full support
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Publication:957520
DOI10.1214/07-AAP502zbMATH Open1151.91490arXiv0811.2040OpenAlexW3106238741MaRDI QIDQ957520FDOQ957520
Authors: B. E. Eshmatov 
Publication date: 27 November 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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].
Full work available at URL: https://arxiv.org/abs/0811.2040
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Cited In (19)
- Pathwise large deviations for the rough Bergomi model
- On the conditional small ball property of multivariate Lévy-driven moving average processes
- Sticky processes, local and true martingales
- Conditional full support for the Brownian bridge
- Sticky Continuous Processes have Consistent Price Systems
- Stochastic integrals and conditional full support
- Slow-fast systems with fractional environment and dynamics
- The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting
- Consistent price systems in multiasset markets
- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Perpetual integral functionals of multidimensional stochastic processes
- Absence of arbitrage in a general framework
- On the martingale property in the rough Bergomi model
- Conditional full support of Gaussian processes with stationary increments
- On the existence of consistent price systems
- BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
- Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift
- A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
- On the stickiness property
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