Brownian moving averages have conditional full support

Alexander Cherny

doi:10.1214/07-AAP502

Brownian moving averages have conditional full support

Probability 2008-11-14 v1

Authors: Alexander Cherny

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Abstract

We prove that any Brownian moving average $X_t=\int_{-\infty}^t\bigl(f(s-t)-f(s)\bigr) dB_s,\qquad t\ge0,$ satisfies the conditional full support condition introduced by Guasoni, R\'{a}sonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491--520].

Keywords

brownian motion

Cite

@article{arxiv.0811.2040,
  title  = {Brownian moving averages have conditional full support},
  author = {Alexander Cherny},
  journal= {arXiv preprint arXiv:0811.2040},
  year   = {2008}
}

Comments

Published in at http://dx.doi.org/10.1214/07-AAP502 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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