Hiding a constant drift

DOI10.1214/10-AIHP363MaRDI QIDQ537135zbMATH OpenFDO

Authors Vilmos Prokaj, Miklós Rásonyi, Walter Schachermayer

Publication date 19 May 2011

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/240013

zbMATH Keywords

enlargement of filtrationstochastic integralBrownian motion with drift

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Recommendations

• Hiding a constant drift -- a strong solution
• Hiding a drift
• Mixed fractional Brownian motion
• scientific article; zbMATH DE number 679785
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration

Cites work

• scientific article; zbMATH DE number 3664116 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1405939 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• An Example of a Stochastic Differential Equation Having No Strong Solution
• Creation or deletion of a drift on a Brownian trajectory
• Hiding a drift
• Random times and enlargements of filtrations in a Brownian setting.
• Stochastic bifurcation models
• Unfolding the Skorohod reflection of a semimartingale

Cited in

(5)

• Hiding a drift
• Hiding a constant drift -- a strong solution
• Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
• On the lack of semimartingale property
• The solution of the perturbed Tanaka-equation is pathwise unique

This page was built for publication: Hiding a constant drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q537135)