Abstract
Let $B$ be a Brownian motion. We show that there is a process $H$ predictable in the natural filtration of $B$, such that $H⋅S$ is a Brownian motion in its own filtration, where $S_t = B_t + t$. In other words, $H$ hides the constant drift. This gives a positive answer to a question posed by Marc Yor.
Citation
Vilmos Prokaj. Walter Schachermayer. "Hiding a constant drift—a strong solution." Illinois J. Math. 54 (4) 1463 - 1480, Winter 2010. https://doi.org/10.1215/ijm/1348505537
Information
