Brownian filtrations are not stable under equivalent time-changes.
Emery, Michel ; Schachermayer, Walter
HAL, hal-00129581 / Harvested from HAL
Text on HAL
A non-cosy filtration indexed by Z is constructed. The idea underlying this construction is used to exhibit a smooth and strictly increasing time-change of ``the'' Brownian filtration, such that the time-changed filtration is not cosy---and consequently not Brownian.
Publié le : 1998-11-18
Classification:  Brownian filtration,  time-change,  "Brownian filtration,  cosiness,  time-change",  60G07, 60G42,60G44,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00129581,
     author = {Emery, Michel and Schachermayer, Walter},
     title = {Brownian filtrations are not stable under equivalent time-changes.},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00129581}
}

Emery, Michel; Schachermayer, Walter. Brownian filtrations are not stable under equivalent time-changes.. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/hal-00129581/