Hiding a drift
Rásonyi, Miklós ; Schachermayer, Walter ; Warnung, Richard
Ann. Probab., Tome 37 (2009) no. 1, p. 2459-2479 / Harvested from Project Euclid
In this article we consider a Brownian motion with drift of the form dStt dt+dBt  for t≥0, ¶ with a specific nontrivial (μt)t≥0, predictable with respect to $\mathbb{F}^{B}$ , the natural filtration of the Brownian motion B=(Bt)t≥0. We construct a process H=(Ht)t≥0, also predictable with respect to $\mathbb{F}^{B}$ , such that ((H⋅S)t)t≥0 is a Brownian motion in its own filtration. Furthermore, for any δ>0, we refine this construction such that the drift (μt)t≥0 only takes values in ]μ−δ, μ+δ[, for fixed μ>0.
Publié le : 2009-11-15
Classification:  Brownian motion with drift,  stochastic integral,  enlargement of filtration,  Lévy transform,  60H05,  60G44,  60G05,  60H10
@article{1258380795,
     author = {R\'asonyi, Mikl\'os and Schachermayer, Walter and Warnung, Richard},
     title = {Hiding a drift},
     journal = {Ann. Probab.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 2459-2479},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1258380795}
}
Rásonyi, Miklós; Schachermayer, Walter; Warnung, Richard. Hiding a drift. Ann. Probab., Tome 37 (2009) no. 1, pp.  2459-2479. http://gdmltest.u-ga.fr/item/1258380795/