Brownian moving averages have conditional full support

Details Brownian moving averages have conditional full support Brownian moving averages have conditional full support

2008-11-13

arxiv.org/abs/0811.2040v1

Annals of Applied Probability 2008, Vol. 18, No. 5, 1825-1830

Mathematics

Probability

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

Scientific paper

10.1214/07-AAP502

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].

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