A non-pure martingale, whose filtration is Brownian (Q4451254)
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scientific article; zbMATH DE number 2046388
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| English | A non-pure martingale, whose filtration is Brownian |
scientific article; zbMATH DE number 2046388 |
Statements
23 February 2004
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Brownian filtration
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pure martingales
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extremal martingales
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Ocone martingale
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0.7625951170921326
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0.7599711418151855
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A non-pure martingale, whose filtration is Brownian (English)
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The author gives two examples of non-extremal martingales and one of a non-pure martingale, that all generate Brownian filtrations. Further, for a given filtration \(({\mathcal F}_t)\), a link between \(\text{Sp\,mult}({\mathcal F})\) and the following condition is developed: For a martingale \(M\) that generates \(({\mathcal F}_t)\), for all \(P\)-a.s. finite stopping time satisfying \(P[M_T= 0]= 0\), \({\mathcal F}^+_{G_T}={\mathcal F}^-_{G_T}\vee \{M_T> 0\}\), with \(G_t= \sup\{s\leq t,\,M_s= 0\}\). For the entire collection see [Zbl 1003.00010].
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