Stochastic integrals and conditional full support
نویسنده
چکیده
We give a simple criterion for a stochastic process Z := H+K ·W , where H and K are respectively continuous and left-continuous processes independent of the driving Brownian motion W , which ensures that Z has the conditional full support property, introduced by Guasoni, Rásonyi, and Schachermayer, in connection to pricing models with transaction costs. As an application of this result, we show that several stochastic volatility models and mixed fractional Brownian motion have the conditional full support property.
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تاریخ انتشار 2009