A martingale characterization of the Wiener process (Q921726)
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English | A martingale characterization of the Wiener process |
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A martingale characterization of the Wiener process (English)
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1990
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Let \(X=(X_ t)_{t\geq 0}\) be a real-valued process, and \((F_ t)_{t\geq 0}\) (resp. \((G_ t)_{t\geq 0})\) an increasing (resp. decreasing) family of \(\sigma\)-fields, such that for every \(t\geq 0\), \(X_ t\) is adapted to \(F_ t\) and to \(G_ t\). The author proves that if \((X_ t)_{t\geq 0}\) and \((X^ 2_ t-t)_{t\geq 0}\) are both \((F_ t)\)-martingales, and if \((X_ tt^{-1})_{t\geq 0}\) and \(((X^ 2_ t- t)t^{-2})_{t\geq 0}\) are both reverse \((G_ t)\)-martingales, then there is a version of X which is a Wiener process. The proof amounts to show by Kolmogorov's criterion that X possesses a continuous version, and then to apply Lévy's characterization of the Brownian law.
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Wiener process
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Lévy's characterization of the Brownian law
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