A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration (Q5939264): Difference between revisions

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scientific article; zbMATH DE number 1625448
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English
A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
scientific article; zbMATH DE number 1625448

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    A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration (English)
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    3 March 2002
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    Let \(\{B_t,t\geq 0\}\) be a one-dimensional standard Brownian motion starting from 0. Denote by \(B^{(\mu)}_t=B_t+\mu t\), \(t\geq 0\), a Brownian motion with constant drift \(\mu\) and consider the exponential functional \(A^{(\mu)}_t=\int _0^t \exp(2 B_s^{(\mu)}) ds\). The main task of this paper is the investigation of the relation -- in terms of exponential -- between \(B^{(-\mu)}\) and \(B^{(\mu)}\). For instance, the authors prove that the process \(\{1/A^{(-\mu)}_t, t>0\}\) has the same distribution as \(\{1/A^{(-\mu)}_t+ 1/\widetilde A^{(-\mu)}_{\infty}, t>0\}\) where \(\widetilde A^{(-\mu)}_{\infty}\) is a copy of \( A^{(-\mu)}_{\infty}\) independent of \(B^{(-\mu)}\). A number of variants and useful consequences of these results are obtained. The most important consequence expresses \(B^{(-\mu)}\) in terms \(B^{(\mu)}\) and an independent Gamma distribution. Two proofs of this result are presented. The first one is based on the theory of enlargements of the Brownian filtration and the other one is based on Lamperti's relation and some properties of the laws of Bessel processes under time reversal and time inversion.
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    Brownian motion with drift
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    Bessel process
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    exponential functional
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    identity in law
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    enlargement of filtration
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    Cameron-Martin theorem
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