Conditional full support of Gaussian processes with stationary increments

D. Gasbarra; T. Sottinen; J.H. Zanten, van

Conditional full support of Gaussian processes with stationary increments

D. Gasbarra
, T. Sottinen
, J.H. Zanten, van

Research output: Book/Report › Report › Academic

Abstract

We investigate the conditional full support (CFS) property, introduced by Guasoni et al. (2008a), for Gaussian processes with stationary increments. We give integrability conditions on the spectral measure of such a process that ensure that the process has CFS or not. In particular, the general results imply that for a process with spectral density f such that (formula follows).

Original language	English
Place of Publication	Helsinki
Publisher	Helsinki University of Technology
Publication status	Published - 2008

Publication series

Name	Preprint
Volume	487

Cite this

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title = "Conditional full support of Gaussian processes with stationary increments",

abstract = "We investigate the conditional full support (CFS) property, introduced by Guasoni et al. (2008a), for Gaussian processes with stationary increments. We give integrability conditions on the spectral measure of such a process that ensure that the process has CFS or not. In particular, the general results imply that for a process with spectral density f such that (formula follows).",

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AU - Sottinen, T.

AU - Zanten, van, J.H.

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Y1 - 2008

N2 - We investigate the conditional full support (CFS) property, introduced by Guasoni et al. (2008a), for Gaussian processes with stationary increments. We give integrability conditions on the spectral measure of such a process that ensure that the process has CFS or not. In particular, the general results imply that for a process with spectral density f such that (formula follows).

AB - We investigate the conditional full support (CFS) property, introduced by Guasoni et al. (2008a), for Gaussian processes with stationary increments. We give integrability conditions on the spectral measure of such a process that ensure that the process has CFS or not. In particular, the general results imply that for a process with spectral density f such that (formula follows).

M3 - Report

T3 - Preprint

BT - Conditional full support of Gaussian processes with stationary increments

PB - Helsinki University of Technology

CY - Helsinki

ER -

Conditional full support of Gaussian processes with stationary increments

Abstract

Publication series

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