Acta mathematica scientia,Series B ›› 2011, Vol. 31 ›› Issue (5): 1671-1678.doi: 10.1016/S0252-9602(11)60352-4

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AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

 HU Yao-Zhong   

  1. 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

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

CLC Number: 

  • 60H40
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