Brownian filtrations and balayage (Q2640239)

Let \((X_t)_{t\geq 0}\) be an \(n\)-dimensional Brownian motion and \(A\) an \(n\times n\) real matrix. This paper studies the natural filtration of the process \(M^A_t = \int^t_0 (AX_s,dX_s)\), \(t\geq 0\). The author investigates the cases where this filtration is that of a \(k\)-dimensional Brownian motion, for some integer \(k\). Extending the results of \textit{J. Auerhan} and \textit{D. Lépingle} [Séminaire de probabilités XV, Univ. Strasbourg 1979/80, Lect. Notes Math. 850, 643--668 (1981; Zbl 0462.60048)], he proves the result for \(n\leq 3\). The proof uses the Azéma-Yor ``balayage'' formula for semi-martingales and quadratic Brownian filtrations.