Brownian semistationary processes and conditional full support
Probability
2011-09-20 v1
Abstract
In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary process has conditional full support, a property introduced by Guasoni, R\'asonyi, and Schachermayer [Ann. Appl. Probab., 18 (2008) pp. 491--520]. By the results of Guasoni, R\'asonyi, and Schachermayer, this property has two important implications. It ensures, firstly, that the process admits no free lunches under proportional transaction costs, and secondly, that it can be approximated pathwise (in the sup norm) by semimartingales that admit equivalent martingale measures.
Keywords
Cite
@article{arxiv.1002.4774,
title = {Brownian semistationary processes and conditional full support},
author = {Mikko S. Pakkanen},
journal= {arXiv preprint arXiv:1002.4774},
year = {2011}
}
Comments
7 pages