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Hiding a constant drift

Vilmos ProkajMiklós RásonyiWalter Schachermayer — 2011

Annales de l'I.H.P. Probabilités et statistiques

The following question is due to Marc Yor: Let be a brownian motion and =+ . Can we define an -predictable process such that the resulting stochastic integral (⋅) is a brownian motion (without drift) in its own filtration, i.e. an -brownian motion? In this paper we show that by dropping the requirement of -predictability of we can give a positive answer to this question. In other words, we are able to show that there is a weak solution to Yor’s question. The original...

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