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On certain probabilities equivalent to Wiener measure, d'Après Dubins, Feldman, Smorodinsky and Tsirelson

Questions de Filtrations

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1709)

Abstract

L. Dubins, J. Feldman, M. Smorodinsky and B. Tsirelson gave an example of an equivalent measure Q on standard Wiener space such that each adapted Q-Brownian motion generates a strictly smaller filtration then the original one. The construction of this important example is complicated and technical.

We give a variant of their construction which differs in some of the technicalities but essentially follows their ideas, hoping that some readers may find our presentation easier to digest than the original papers.

Keywords

  • Brownian Motion
  • Generate Parametrisation
  • Polish Space
  • Borel Function
  • Equivalent Measure

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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© 1999 Springer-Verlag

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Schachermayer, W. (1999). On certain probabilities equivalent to Wiener measure, d'Après Dubins, Feldman, Smorodinsky and Tsirelson. In: Azéma, J., Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXIII. Lecture Notes in Mathematics, vol 1709. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0096513

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  • DOI: https://doi.org/10.1007/BFb0096513

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-66342-3

  • Online ISBN: 978-3-540-48407-3

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