Linear transformations of two independent Brownian motions and orthogonal decompositions of Brownian filtrations
The paper deals with semimartingales of the form \(dX_t=dW_t+Y_tdt,\) where \(Y_t\) is linear in \(W\) and \(\widetilde W,\) two independent Wiener processes defined on a complete probability space. The problem when \(X\) is again a Brownian motion (relative to its own filtration) is investigated. The paper extends in this setup, involving \(W\) and \(\widetilde W,\) some results about non-canonical representations of Brownian motion, in terms of only one Brownian motion \(W_t.\) Certain orthogonal decompositions of Brownian filtrations are studied.
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