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April 1996 Decreasing sequences of $\sigma$-fields and a measure change for Brownian motion. II
Jacob Feldman, Boris Tsirelson
Ann. Probab. 24(2): 905-911 (April 1996). DOI: 10.1214/aop/1039639368

Abstract

Sharpening the main result of the preceding paper, it is shown that if, $B_t,0 \leq t < \infty$ is a standard Brownian motion on $(\Omega,\mathscr{F},P)$, then for any $\varepsilon > 0$ there is a probability measure $Q$ with $(1 - \varepsilon)P \leq Q \leq (1= \varepsilon)P$ such that the filtration of B cannot be generated by any Brownian motion on $(\Omega,\mathscr{F},Q)$.

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Jacob Feldman. Boris Tsirelson. "Decreasing sequences of $\sigma$-fields and a measure change for Brownian motion. II." Ann. Probab. 24 (2) 905 - 911, April 1996. https://doi.org/10.1214/aop/1039639368

Information

Published: April 1996
First available in Project Euclid: 11 December 2002

zbMATH: 0870.60079
MathSciNet: MR1404534
Digital Object Identifier: 10.1214/aop/1039639368

Subjects:
Primary: 60J65
Secondary: 28C20, 60G07, 60H10

Rights: Copyright © 1996 Institute of Mathematical Statistics

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Vol.24 • No. 2 • April 1996
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