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The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting
by Hennoune Halima   Kandouci Abdeldjebbar

Vol. 16 No. 1 (2021) P.63~P.77
 DOI: https://doi.org/10.21915/BIMAS.2021104 10.21915/BIMAS.2021104

ABSTRACT

In this paper, we investigate the condition full support property (CFS) for the stochastic process $S_{t}=R_{t}+\int_{0}^{t}\phi_{s}dM^{H}_{s}$, where $M^{H}_{s}$ is a mixed fractional Brownian motion, $R_{t}$ a continuous adapted process, and $(\phi_{t})$ an elementary predictable process. The problem of the absence of arbitrage for this process is treated.

KEYWORDS
Stochastic integral, mixed fractional Brownian motion, conditional full support

MATHEMATICAL SUBJECT CLASSIFICATION 2010
Primary: 34A08, 34K50, 93B05, 58J65

MILESTONES