PAKKANEN, MIKKO S. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 579-586
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...