Brownian filtrations are not stable under equivalent time-changes

Michel Émery; Walter Schachermayer

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On certain probabilities equivalent to coin-tossing, d'après Schachermayer

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Michel Émery, Walter Schachermayer (2001)

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Hiding a constant drift

Vilmos Prokaj, Miklós Rásonyi, Walter Schachermayer (2011)

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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....