On certain probabilities equivalent to coin-tossing, d'après Schachermayer.
Beghdadi-Sakrani, Samia ; Emery, Michel
HAL, hal-00129580 / Harvested from HAL
Text on HAL
Dubins, Feldman, Smorodinsky and Tsirelson have constructed a change of probability on Wiener space (respectively: eternal coin-tossing), with density arbitrarily close to~1 (in uniform norm), but such that the canonical filtration has no standard extension for the new probability. Using Schachermayer's analysis of their construction, we show a stronger result: the canonical filtration is not cosy for the new probability.
Publié le : 1998-11-18
Classification:  Brownian filtration,  probability-change,  "Brownian filtration,  cosiness,  Girsanov transform,  probability-change",  60G07, 60G42,60G44,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00129580,
     author = {Beghdadi-Sakrani, Samia and Emery, Michel},
     title = {On certain probabilities equivalent to coin-tossing, d'apr\`es Schachermayer.},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00129580}
}

Beghdadi-Sakrani, Samia; Emery, Michel. On certain probabilities equivalent to coin-tossing, d'après Schachermayer.. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/hal-00129580/