Brownian filtrations and balayage

MaRDI QIDQ2640239zbMATH OpenFDO

Authors Marc Malric

Publication date 1990

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

Full work available at URL http://www.numdam.org/item?id=AIHPB_1990__26_4_507_0, https://eudml.org/doc/77392

zbMATH Keywords

balayageBrownian motionquadratic Brownian filtrationssemi-martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55) Brownian motion (60J65)

Review text

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.

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