On the Fields of Some Brownian Martingales
Lane, David A.
Ann. Probab., Tome 6 (1978) no. 6, p. 499-508 / Harvested from Project Euclid
Suppose $\{B_t\}_{t\geqq 0}$ is a standard 1-dimensional Brownian motion, and $f$ is a continuous function with nonaccumulating zero set. For $t \geqq 0$, let $M_t = \int^t_0 f(B_s) dB_s$. When does $M$ generate the same fields as $B$? When does $M$ generate the same fields as some Brownian motion? The answers to these questions are obtained; they involve the behavior of $f$ around its zeros. Also, either $M$ generates the same fields as some Brownian motion, or the fields of $M$ support discontinuous martingales.
Publié le : 1978-06-14
Classification:  Brownian motion,  martingale,  stochastic integral,  equivalent sigma fields,  60G45,  60H05
@article{1176995534,
     author = {Lane, David A.},
     title = {On the Fields of Some Brownian Martingales},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 499-508},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995534}
}
Lane, David A. On the Fields of Some Brownian Martingales. Ann. Probab., Tome 6 (1978) no. 6, pp.  499-508. http://gdmltest.u-ga.fr/item/1176995534/