On the Lévy transformation of brownian motions and continuous martingales
Lester E. Dubins, Michel Émery, Marc Yor (1993)
Séminaire de probabilités de Strasbourg
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Lester E. Dubins, Michel Émery, Marc Yor (1993)
Séminaire de probabilités de Strasbourg
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Vilmos Prokaj, Miklós Rásonyi, Walter Schachermayer (2011)
Annales de l'I.H.P. Probabilités et statistiques
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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....
Obłój, Jan (2004)
Probability Surveys [electronic only]
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Davis, Burgess (1998)
The New York Journal of Mathematics [electronic only]
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Walter Schachermayer (1999)
Séminaire de probabilités de Strasbourg
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M. Émery (2005)
Annales de l'I.H.P. Probabilités et statistiques
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David G. Hobson (1998)
Séminaire de probabilités de Strasbourg
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Biggins, J.D., Kyprianou, A.E. (2005)
Electronic Journal of Probability [electronic only]
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Peccati, Giovanni (2004)
Electronic Communications in Probability [electronic only]
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