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...

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Veröffentlicht in:	Journal of applied probability 2010-09, Vol.47 (3), p.650-667
1. Verfasser:	Pakkanen, Mikko S.
Format:	Artikel
Sprache:	eng
Schlagworte:	60H05 91B28 Applications Brownian motion Conditional full support Continuous production Differential equations Exact sciences and technology Integrals Integrands Martingales Mathematical analysis Mathematical integrals Mathematical models Mathematical theorems Mathematics Probabilities Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Statistics Stochastic analysis stochastic differential equation stochastic integral Stochastic models stochastic volatility Stochasticity Studies Transaction costs Volatility
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