BROWNIAN MOVING AVERAGES HAVE CONDITIONAL FULL SUPPORT
成果类型：
Article
署名作者：
Cherny, Alexander
署名单位：
Lomonosov Moscow State University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/07-AAP502
发表日期：
2008
页码：
1825-1830
关键词：
摘要：
We prove that any Brownian moving average X-t = integral(t)(-infinity) (f(s - t) - f(s))dB(s), t >= 0, satisfies the conditional full support condition introduced by Guasoni, Rasonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491-520].