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
Received: 2021-03-18
Revised :
Accepted:
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