The Annals of Applied Probability

Brownian moving averages have conditional full support

Alexander Cherny

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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

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

First available in Project Euclid: 30 October 2008

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 91B28
Secondary: 60G15: Gaussian processes

Brownian moving average conditional full support Titchmarsh convolution theorem


Cherny, Alexander. Brownian moving averages have conditional full support. Ann. Appl. Probab. 18 (2008), no. 5, 1825--1830. doi:10.1214/07-AAP502.

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