AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

doi:10.1016/S0252-9602(11)60352-4

数学物理学报(英文版) ›› 2011, Vol. 31 ›› Issue (5): 1671-1678.doi: 10.1016/S0252-9602(11)60352-4

AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

胡耀忠

Department of Mathematics, Donghua University, Shanghai 200051, China
Department of Mathematics, University of Kansas, Lawrence, Kansas 66045-2142, U.S.A.

收稿日期:2010-07-05 出版日期:2011-09-20 发布日期:2011-09-20

AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

HU Yao-Zhong

Department of Mathematics, Donghua University, Shanghai 200051, China
Department of Mathematics, University of Kansas, Lawrence, Kansas 66045-2142, U.S.A.

Received:2010-07-05 Online:2011-09-20 Published:2011-09-20

摘要/Abstract

摘要：

Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt −ht is a Gt-Brownian motion.

关键词: Brownian motion, enlargement of filtration, information flow

Abstract:

Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt −ht is a Gt-Brownian motion.

Key words: Brownian motion, enlargement of filtration, information flow

中图分类号:

60H40

胡耀忠. AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION[J]. 数学物理学报(英文版), 2011, 31(5): 1671-1678.

HU Yao-Zhong. AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION[J]. Acta mathematica scientia,Series B, 2011, 31(5): 1671-1678.

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AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

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