The Annals of Applied Probability

Brownian moving averages have conditional full support

Alexander Cherny

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Abstract

We prove that any Brownian moving average

Xt=∫−∞t (f(s−t)−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
https://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. Ann. Appl. Probab. 18 (2008), no. 5, 1825--1830. doi:10.1214/07-AAP502. https://projecteuclid.org/euclid.aoap/1225372951.


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References

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The Institute of Mathematical Statistics

The Annals of Applied Probability

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