The Annals of Applied Probability

Brownian moving averages have conditional full support

Alexander Cherny

Full-text: Open access

Abstract

We prove that any Brownian moving average

Xt=−∞t (f(st)−f(s)) dBs,  t≥0,

satisfies the conditional full support condition introduced by Guasoni, Rásonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491–520].

Article information

Source
Ann. Appl. Probab. Volume 18, Number 5 (2008), 1825-1830.

Dates
First available in Project Euclid: 30 October 2008

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1225372951

Digital Object Identifier
doi:10.1214/07-AAP502

Mathematical Reviews number (MathSciNet)
MR2432181

Zentralblatt MATH identifier
1151.91490

Subjects
Primary: 91B28
Secondary: 60G15: Gaussian processes

Keywords
Brownian moving average conditional full support Titchmarsh convolution theorem

Citation

Cherny, Alexander. Brownian moving averages have conditional full support. The Annals of Applied Probability 18 (2008), no. 5, 1825--1830. doi:10.1214/07-AAP502. http://projecteuclid.org/euclid.aoap/1225372951.


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