Brownian filtrations are not stable under equivalent time-changes

Michel Émery; Walter Schachermayer

Séminaire de probabilités de Strasbourg (1999)

  • Volume: 33, page 267-276

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Émery, Michel, and Schachermayer, Walter. "Brownian filtrations are not stable under equivalent time-changes." Séminaire de probabilités de Strasbourg 33 (1999): 267-276. <http://eudml.org/doc/114012>.

@article{Émery1999,
author = {Émery, Michel, Schachermayer, Walter},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Brownian filtration; cosiness; innovation phenomenon},
language = {eng},
pages = {267-276},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Brownian filtrations are not stable under equivalent time-changes},
url = {http://eudml.org/doc/114012},
volume = {33},
year = {1999},
}

TY - JOUR
AU - Émery, Michel
AU - Schachermayer, Walter
TI - Brownian filtrations are not stable under equivalent time-changes
JO - Séminaire de probabilités de Strasbourg
PY - 1999
PB - Springer - Lecture Notes in Mathematics
VL - 33
SP - 267
EP - 276
LA - eng
KW - Brownian filtration; cosiness; innovation phenomenon
UR - http://eudml.org/doc/114012
ER -

References

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  1. [BE 99] S. Beghdadi-Sakrani & M. Émery. On certain probabilities equivalent to coin-tossing, d'après Schachermayer. In this volume. Zbl0947.60080
  2. [DFST 96] L. Dubins, J. Feldman. M. Smorodinsky & B. Tsirelson. Decreasing sequences of σ-fields and a measure change for Brownian motion. Ann. Prob.24, 882-904, 1996. Zbl0870.60078
  3. [RY 91] D. Revuz & M. Yor. Continuous Martingales and Brownian Motion. Springer, 1991. Zbl0731.60002
  4. [T 97] B. Tsirelson. Triple points: From non-Brownian filtrations to harmonic measures. GAFA, Geom. funct. anal.7, 1096-1142, 1997. Zbl0902.31004MR1487755
  5. [V 73] A.M. Vershik. Approximation in measure theory. Doctor Thesis, Leningrad 1973. Expanded and updated english version: The theory of decreasing sequences of measurable partitions. St. Petersburg Math. J.6, 705-761, 1995. Zbl0853.28009
  6. [vW 83] H. von Weizsäcker. Exchanging the order of taking suprema and countable intersections of σ-algebras. Ann. Inst. Henri Poincaré19, 91-100, 1983. Zbl0509.60002MR699981
  7. [W 91] D. Williams. Probability with Martingales. Cambridge University Press, 1991. Zbl0722.60001MR1155402

Citations in EuDML Documents

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  1. Walter Schachermayer, Addendum to the paper : “On certain probabilities equivalent to Wiener measure”
  2. M. Émery, On certain almost brownian filtrations
  3. Samia Beghdadi-Sakrani, Une martingale non pure, dont la filtration est brownienne
  4. Michel Émery, Walter Schachermayer, On Vershik's standardness criterion and Tsirelson's notion of cosiness
  5. S. Beghdadi-Sakrani, Some remarkable pure martingales
  6. Michel Émery, Espaces probabilisés filtrés : de la théorie de Vershik au mouvement brownien, via des idées de Tsirelson

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