Stochastic Integrals and Conditional Full Support

DOI10.1239/jap/1285335401zbMath1216.60047arXiv0811.1847OpenAlexW3101993491MaRDI QIDQ4933191

Mikko S. Pakkanen

Publication date: 12 October 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.1847

zbMATH Keywords

stochastic differential equationstochastic volatilitystochastic integralconditional full support

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic integrals (60H05)

Related Items (22)

Diversity and No Arbitrage ⋮ Hedging of game options with the presence of transaction costs ⋮ Sticky Continuous Processes have Consistent Price Systems ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ No-arbitrage conditions and pricing from discrete-time to continuous-time strategies ⋮ Sticky processes, local and true martingales ⋮ Absence of arbitrage in a general framework ⋮ CEV model equipped with the long-memory ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ A study of the absence of arbitrage opportunities without calculating the risk-neutral probability ⋮ On the conditional small ball property of multivariate Lévy-driven moving average processes ⋮ Exponential ergodicity for SDEs under the total variation ⋮ Simple arbitrage ⋮ On the Existence Of Consistent Price Systems ⋮ No arbitrage and lead-lag relationships ⋮ BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT ⋮ TRAJECTORY-BASED MODELS, ARBITRAGE AND CONTINUITY ⋮ Support characterization for regular path-dependent stochastic Volterra integral equations ⋮ On the support of solutions to stochastic differential equations with path-dependent coefficients ⋮ Fractional Lévy Processes as a Result of Compact Interval Integral Transformation ⋮ Market Models with Optimal Arbitrage ⋮ The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting

Cites Work

• Brownian moving averages have conditional full support
• Mixed fractional Brownian motion
• The existence of absolutely continuous local martingale measures
• Pricing by hedging and no-arbitrage beyond semimartingales
• Consistent price systems and face-lifting pricing under transaction costs
• Long memory in continuous-time stochastic volatility models
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• An explicit solution to an optimal stopping problem with regime switching
• Conditional Full Support of Gaussian Processes with Stationary Increments
• Abstract Wiener processes and their reproducing Kernel Hilbert spaces
• On the growth of stochastic integrals
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