Linear transformations of two independent Brownian motions and orthogonal decompositions of Brownian filtrations (Q699481): Difference between revisions

The paper deals with semimartingales of the form \(dX_t=dW_t+Y_tdt,\) where \(Y_t\) is linear in \(W\) and \(\widetilde W,\) two independent Wiener processes defined on a complete probability space. The problem when \(X\) is again a Brownian motion (relative to its own filtration) is investigated. The paper extends in this setup, involving \(W\) and \(\widetilde W,\) some results about non-canonical representations of Brownian motion, in terms of only one Brownian motion \(W_t.\) Certain orthogonal decompositions of Brownian filtrations are studied.