Displaying similar documents to “On certain almost brownian filtrations”

Hiding a constant drift

Vilmos Prokaj, Miklós Rásonyi, Walter Schachermayer (2011)

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

Similarity:

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....