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June 2011 Conditional full support of Gaussian processes with stationary increments
Dario Gasbarra, Tommi Sottinen, Harry van Zanten
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J. Appl. Probab. 48(2): 561-568 (June 2011). DOI: 10.1239/jap/1308662644

Abstract

We investigate the conditional full support (CFS) property, introduced in Guasoni et al. (2008a), for Gaussian processes with stationary increments. We give integrability conditions on the spectral measure of such a process which ensure that the process has CFS or not. In particular, the general results imply that, for a process with spectral density f such that f(λ) ∼ c1λpe-c2λq for λ → ∞ (with necessarily p < 1 if q = 0), the CFS property holds if and only if q < 1.

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Dario Gasbarra. Tommi Sottinen. Harry van Zanten. "Conditional full support of Gaussian processes with stationary increments." J. Appl. Probab. 48 (2) 561 - 568, June 2011. https://doi.org/10.1239/jap/1308662644

Information

Published: June 2011
First available in Project Euclid: 21 June 2011

zbMATH: 1219.60039
MathSciNet: MR2840316
Digital Object Identifier: 10.1239/jap/1308662644

Subjects:
Primary: 60G15
Secondary: 60G30

Keywords: conditional full support , conditional law , Gaussian process , processes with stationary increments , spectral measure

Rights: Copyright © 2011 Applied Probability Trust

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Vol.48 • No. 2 • June 2011
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