Journal of Applied Probability
- J. Appl. Probab.
- Volume 47, Number 3 (2010), 650-667.
Stochastic integrals and conditional full support
We present conditions that imply the conditional full support (CFS) property, introduced in Guasoni, Rásonyi and Schachermayer (2008), for processes Z := H + ∫K dW, where W is a Brownian motion, H is a continuous process, and processes H and K are either progressive or independent of W. Moreover, in the latter case, under an additional assumption that K is of finite variation, we present conditions under which Z has CFS also when W is replaced with a general continuous process with CFS. As applications of these results, we show that several stochastic volatility models and the solutions of certain stochastic differential equations have CFS.
J. Appl. Probab. Volume 47, Number 3 (2010), 650-667.
First available in Project Euclid: 24 September 2010
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Pakkanen, Mikko S. Stochastic integrals and conditional full support. J. Appl. Probab. 47 (2010), no. 3, 650--667. doi:10.1239/jap/1285335401. https://projecteuclid.org/euclid.jap/1285335401