TY - JOUR
T1 - Decreasing sequences of σ-fields and a measure change for brownian motion
AU - Dubins, Lester
AU - Feldman, Jacob
AU - Smorodinsky, Meir
AU - Tsirelson, Boris
PY - 1996/4
Y1 - 1996/4
N2 - Let (ℱt)t≥0 be the filtration of a Brownian motion (B(t))t≥0 on (Ω,ℱ,P). An example is given of a measure Q ̃ P (in the sense of absolute continuity) for which (ℱt)t≥0 is not the filtration of any Brownian motion on (Ω,ℱ,Q). This settles a 15-year-old question.
AB - Let (ℱt)t≥0 be the filtration of a Brownian motion (B(t))t≥0 on (Ω,ℱ,P). An example is given of a measure Q ̃ P (in the sense of absolute continuity) for which (ℱt)t≥0 is not the filtration of any Brownian motion on (Ω,ℱ,Q). This settles a 15-year-old question.
KW - Brownian filtration
KW - Decreasing sequence of measurable partitions
KW - Equivalent measure
UR - http://www.scopus.com/inward/record.url?scp=0001077760&partnerID=8YFLogxK
U2 - 10.1214/aop/1039639367
DO - 10.1214/aop/1039639367
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:0001077760
SN - 0091-1798
VL - 24
SP - 882
EP - 904
JO - Annals of Probability
JF - Annals of Probability
IS - 2
ER -