On certain almost Brownian filtrations (Q2485313)

A filtration \({\mathcal F}\) is called Brownian after zero, if, for all \(\varepsilon> 0\), \(({\mathcal F}_{\varepsilon+t})\) is generated by \({\mathcal F}_\varepsilon\) and some independent Brownian motion. It is known since \textit{A. M. Vershik} [St. Petersbg. Math. J. 6, No. 4, 705--761 (1995); translation from Algebra Anal. 6, No. 4, 1--68 (1994; Zbl 0853.28009)] that such a filtration is not necessarily a Brownian filtration. In the present paper, the author shows that, for some filtration \({\mathcal F}\) that is Brownian after zero, it is equivalent to be Brownian and to be immersible in the filtration \({\mathcal B}\) of an infinite-dimensional Brownian motion (i.e., up to some isomorphism between probability spaces, \({\mathcal F}\subset{\mathcal B}\), and each \({\mathcal F}\)-martingale is a \({\mathcal B}\)-martingale). More generally, \({\mathcal F}\) is Brownian if and only if it satisfies some self-coupling property -- that holds for \({\mathcal B}\) -- analogue in continuous time to the discrete time standardness criterion of Vershik, also called I-cosyness.