A remark on Tsirelson's stochastic differential equation.
Emery, Michel ; Schachermayer, Walter
HAL, hal-00129583 / Harvested from HAL
Text on HAL
A deterministic time-change translates the study of Tsirelson's famous stochastic differential equation with no strong solution into the study of ``eternal'' Brownian motion on a circle. This bypass and a coupling argument show that the filtration generated by a solution to the equation is also generated by some Brownian motion (containing more information than the Brownian motion that drives the equation).
Publié le : 1998-11-16
Classification:  stochastic differential equation,  Brownian filtration,  "stochastic differential equation,  weak solutions of stochastic differential equations,  Brownian filtration",  60H10, 60G44,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00129583,
     author = {Emery, Michel and Schachermayer, Walter},
     title = {A remark on Tsirelson's stochastic differential equation.},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00129583}
}

Emery, Michel; Schachermayer, Walter. A remark on Tsirelson's stochastic differential equation.. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/hal-00129583/