Enlarged filtrations for diffusions (Q1822418): Difference between revisions

The diffusion \(x_ t\in {\mathbb{R}}^ n\) governed by the equation: \[ dx_ t=A(x_ t)dt+\sum^{n}_{k=1}X_ k(x_ t)\circ dw^ k_ t,\quad 0\leq t\leq 1, \] is considered, where \(\circ dw\) represents the Stratonovich integral. Let \({\mathcal F}_ t\) be the completed \(\sigma\)- field, generated by \(\sigma \{x_ 0,w_ v-w_ u:\) \(0\leq u\leq v\leq t\}\) and \(\sigma (x_ 1)\). Under some assumptions concerning the transition densities of \(x_ t\) it is proved that \(w^ k_ t\) is an (\({\mathcal F}_ t)\)-quasimartingale with decomposition: \[ w^ k_ t=\beta^ k_ t+\int^{t}_{0}l^ k(u,x_ u)du,\quad t\in [0,1), \] where \(l^ k\) is explicitly given. As a corollary the (\({\mathcal F}_ t)\)-decomposition of \(x_ t\) is also found. A particular case of these results is the known decomposition of the Brownian motion \(\{B_ t\}\) when the value of \(B_ 1\) is known. The technical tools are interesting by themselves and the paper is in general very interesting.