Acta mathematica scientia, Series B >
AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION
Received date: 2010-07-05
Online published: 2011-09-20
Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt −ht is a Gt-Brownian motion.
Key words： Brownian motion; enlargement of filtration; information flow
HU Yao-Zhong . AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION[J]. Acta mathematica scientia, Series B, 2011 , 31(5) : 1671 -1678 . DOI: 10.1016/S0252-9602(11)60352-4
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