Advanced Search
MyIDEAS: Login to save this article or follow this journal

Brownian Semistationary Processes And Conditional Full Support


Author Info


    (Department of Mathematics and Statistics, University of Helsinki, P.O. Box 68, FI-00014 Helsingin yliopisto, Finland)

Registered author(s):


    In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary process has conditional full support, a distributional property that has two important implications. It ensures, firstly, that the process admits no free lunches under proportional transaction costs, and secondly, that it can be approximated pathwise (in the sup norm) by semimartingales that admit equivalent martingale measures.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 14 (2011)
    Issue (Month): 04 ()
    Pages: 579-586

    as in new window
    Handle: RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:579-586

    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Brownian semistationary process; conditional full support; non-semimartingale; transaction costs;


    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013. "Sticky continuous processes have consistent price systems," Papers 1310.7857,, revised Aug 2014.
    2. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332,
    3. Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013. "Sticky continuous processes have consistent price systems," CREATES Research Papers 2013-38, School of Economics and Management, University of Aarhus.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:14:y:2011:i:04:p:579-586. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.