Brownian moving averages have conditional full support
| dc.creator | Cherny, Alexander | |
| dc.date | 2008-11-13 | |
| dc.date.accessioned | 2026-07-07T10:17:58Z | |
| dc.date.available | 2026-07-07T10:17:58Z | |
| dc.description | 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, Rásonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491--520]. | |
| dc.description | 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) | |
| dc.identifier | https://arxiv.org/abs/0811.2040 | |
| dc.identifier | http://arxiv.org/abs/0811.2040 | |
| dc.identifier | Annals of Applied Probability 2008, Vol. 18, No. 5, 1825-1830 | |
| dc.identifier | doi:10.1214/07-AAP502 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/174036 | |
| dc.subject | Probability | |
| dc.subject | 91B28 (Primary) 60G15 (Secondary) | |
| dc.title | Brownian moving averages have conditional full support | |
| dc.type | text |