Brownian moving averages have conditional full support

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, Rásonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491--520].

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)

References in corpus (1)

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