Brownian moving averages have conditional full support

Authors
Cherny, Alexander
Citation
Cherny, Alexander, Brownian moving averages have conditional full support, Annals of applied probability , 18(5), 2008, pp. 1825-1830
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
18
Issue
5
Year of publication
2008
Pages
1825 - 1830
Database
ACNP
SICI code
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].