Decreasing sequences of \(\sigma\)-fields and a measure change for Brownian motion. II (Q2563939): Difference between revisions
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English | Decreasing sequences of \(\sigma\)-fields and a measure change for Brownian motion. II |
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Decreasing sequences of \(\sigma\)-fields and a measure change for Brownian motion. II (English)
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1 September 1997
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This paper is the sequel to and a sharpening of the paper reviewed above. Using similar techniques, the authors construct for a given real Brownian motion \((\Omega,{\mathfrak F},\mathbb{P},\{B(t)\}_{t\geq 0}, \{{\mathfrak F}_t\}_{t>0})\) a probability measure \(\mathbb{Q}\) such that (a) \((1-\varepsilon)\mathbb{P}\leq\mathbb{Q}\leq(1+ \varepsilon)\mathbb{P}\) (and not merely \(\mathbb{P}\ll\mathbb{Q}\ll\mathbb{P})\) and (b) \(\{{\mathfrak F}_t\}_{t\geq 0}\) cannot be generated by any Brownian motion on \((\Omega,{\mathfrak F},\mathbb{Q})\).
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Brownian filtration
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equivalent measure
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decreasing sequence of sigma-fields
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product measure
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