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Brownian moving averages have conditional full support. (English) Zbl 1151.91490

Summary: We prove that any Brownian moving average \[ X_t=\int _{ - \infty }^t (f(s - t) - f(s)) dB_s,\qquad t\geq 0 \] , satisfies the conditional full support condition introduced by P. Guasoni, M. Rásonyi and W. Schachermayer [Ann. Appl. Probab. 18, No. 2, 491–520 (2008; Zbl 1133.91422)].

MSC:

91B28 Finance etc. (MSC2000)
60G15 Gaussian processes

Citations:

Zbl 1133.91422
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References:

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