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@article{Pakkanen:2010:jap/1285335401,
author = {Pakkanen, MS},
doi = {jap/1285335401},
journal = {Journal of Applied Probability},
pages = {650--667},
title = {Stochastic Integrals and Conditional Full Support},
url = {http://dx.doi.org/10.1239/jap/1285335401},
volume = {47},
year = {2010}
}

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TY  - JOUR
AB  - <jats:p>We present conditions that imply the conditional full support (CFS) property, introduced in Guasoni, Rásonyi and Schachermayer (2008), for processes <jats:italic>Z</jats:italic> := <jats:italic>H</jats:italic> + ∫<jats:italic>K</jats:italic> d<jats:italic>W</jats:italic>, where <jats:italic>W</jats:italic> is a Brownian motion, <jats:italic>H</jats:italic> is a continuous process, and processes <jats:italic>H</jats:italic> and <jats:italic>K</jats:italic> are either progressive or independent of <jats:italic>W</jats:italic>. Moreover, in the latter case, under an additional assumption that <jats:italic>K</jats:italic> is of finite variation, we present conditions under which <jats:italic>Z</jats:italic> has CFS also when <jats:italic>W</jats:italic> is replaced with a general continuous process with CFS. As applications of these results, we show that several stochastic volatility models and the solutions of certain stochastic differential equations have CFS.</jats:p>
AU  - Pakkanen,MS
DO  - jap/1285335401
EP  - 667
PY  - 2010///
SN  - 0021-9002
SP  - 650
TI  - Stochastic Integrals and Conditional Full Support
T2  - Journal of Applied Probability
UR  - http://dx.doi.org/10.1239/jap/1285335401
VL  - 47
ER  -

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