References
- [1] R. Fernholz, On the diversity of equity markets, J. Math. Econom., 31 (1999), 393417, doi: 10.1016/S0304-4068(97)00018-9. MR1684221 (2000e:91072).10.1016/S0304-4068(97)00018-9
- [2] R. Fernholz, Equity portfolios generated by functions of ranked market weights, Finance Stoch., 5 (2001), 469486, doi: 10.1007/s007800100044. MR1861997 (2002h:91052).10.1007/s007800100044
- [3] R. Fernholz, I. Karatzas, C. Kardaras, Diversity and relative arbitrage in equity markets, Finance Stoch., 9 (2005), 127. doi: 10.1007/s00780-004-0129-4. MR2210925 (2006k:60123).10.1007/s00780-004-0129-4
- [4] P. Guasoni, M. Rasonyi, W. Schachermaye, Consistent price systems and face-lifting pricing under transaction costs, Ann. Appl. Probab., 18 (2)(2008), 491–520.10.1214/07-AAP461
- [5] D. Gasbarra, T. Sottinen, H. van Zanten, Conditional full support of Gaussian processes with stationary increments, Preprint 487, University of Helsinki, Department of Mathematics and Statistics, February 17, 2011.10.1017/S0021900200008044
- [6] C. Bender, T. Sottinen, E. Valkeila, Pricing by hedging and no-arbitrage beyond semimartingales, Finance Stoch., 12 (4) (2008), 441–468.10.1007/s00780-008-0074-8
- [7] M. S. Pakkanen, Stochastic integrals and conditional full support, arXiv:0811.1847 (2009).
- [8] L. C. G. Rogers, Equivalent martingale measures and no-arbitrage, Stochastics Rep., 51 (1994), 41-49.10.1080/17442509408833943
- [9] R. Fernholz, On the diversity of equity markets, J. Math. Econom., 31 (1999), 393417, doi10.1016/S0304-4068(97)00018-9
- [10] G. Kallianpur, Abstract Wiener processes and their reproducing kernel Hilbert spaces, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 17 (1971), 113 –123.10.1007/BF00538863
- [11] D. W. Stroock, S. R. S. Varadhan, On the support of diffusion processes with applications to the strong maximum principle, in Proc. Sixth Berkeley Symp. Math. Statist. and Probab. III: Probability Theory, Berkeley, Calif., 1972, Univ. California Press, 333 –359.10.1525/9780520375918-020
- [12] A. Millet, M. Sanz-Sol, A simple proof of the support theorem for diffusion processes, in Sminaire de Probabilities, XXVIII, vol. 1583 of Lecture Notes in Math., Springer, Berlin, 1994, pp. 36–48.
- [13] A. Cherny, Brownian moving averages have conditional full support, Ann. Appl. Probab., 18 (2008), 1825–1830.10.1214/07-AAP502
- [14] A. Herczegh, V. Prokaj, M. Rasonyi, Diversity and no arbitrage, arXiv:1301.4173v1 [q-fin.PM] 17 Jan 2013.
- [15] M. Jeanblanc, Enlargements of Filtrations, June 9, 2010.
- [16] Guasoni, Paolo and Rásonyi, Miklόs and Schachermayer, Walter, Consistent price systems and face-lifting pricing under transaction costs, Ann. Appl. Probab., (2008).10.1214/07-AAP461
- [17] A. Cherny, Brownian moving average have conditional full support, The Annals of Applied Probability, (2008).10.1214/07-AAP502
- [18] D. Gasbarra, T. Sottinen, H. Van Zanten, Conditional full support of Gaussian processes with stationary increments. J. Appl. Prob., (2011).10.1017/S0021900200008044
- [19] A. Herczegh, V. Prokaj, M. Rasonyi, Diversity and no arbitrage, Stochastic Analysis and Applications, 32 (5) (2014), 876–888.10.1080/07362994.2014.939543