Brownian filtrations are not stable under equivalent time-changes
| Autor: | Michel Émery, Walter Schachermayer |
|---|---|
| Přispěvatelé: | Institut de Recherche Mathématique Avancée (IRMA), Centre National de la Recherche Scientifique (CNRS)-Université Louis Pasteur - Strasbourg I, Université Louis Pasteur - Strasbourg I-Centre National de la Recherche Scientifique (CNRS), Thureau, Grégory |
| Jazyk: | angličtina |
| Rok vydání: | 1998 |
| Předmět: |
Brownian filtration
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR] Mathematical analysis technology industry and agriculture time-change 60G07 60G42 60G44 Time changes [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] Mathematics::Algebraic Geometry Mathematics::Probability cosiness Mathematics::K-Theory and Homology biological sciences Filtration (mathematics) natural sciences sense organs skin and connective tissue diseases Nuclear Experiment Brownian motion Mathematics |
| Zdroj: | Lecture Notes in Mathematics ISBN: 9783540663423 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|