Maximal Brownian motions
Brossard, Jean ; Émery, Michel ; Leuridan, Christophe
Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, p. 876-886 / Harvested from Project Euclid
Let Z=(X, Y) be a planar Brownian motion, $\mathcal{Z}$ the filtration it generates, and B a linear Brownian motion in the filtration $\mathcal{Z}$ . One says that B (or its filtration) is maximal if no other linear $\mathcal{Z}$ -Brownian motion has a filtration strictly bigger than that of B. For instance, it is shown in [In Séminaire de Probabilités XLI 265–278 (2008) Springer] that B is maximal if there exists a linear Brownian motion C independent of B and such that the planar Brownian motion (B, C) generates the same filtration $\mathcal{Z}$ as Z. We do not know if this sufficient condition for maximality is also necessary. ¶ We give a necessary condition for B to be maximal, and a sufficient condition which may be weaker than the existence of such a C. This sufficient condition is used to prove that the linear Brownian motion ∫(X dY−Y dX)/|Z|, which governs the angular part of Z, is maximal.
Publié le : 2009-08-15
Classification:  Brownian filtration,  Maximal Brownian motion,  Exchange property,  60J65,  60G07,  60G44
@article{1249391390,
     author = {Brossard, Jean and \'Emery, Michel and Leuridan, Christophe},
     title = {Maximal Brownian motions},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {45},
     number = {1},
     year = {2009},
     pages = { 876-886},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1249391390}
}
Brossard, Jean; Émery, Michel; Leuridan, Christophe. Maximal Brownian motions. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp.  876-886. http://gdmltest.u-ga.fr/item/1249391390/