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June, 1978 On the Fields of Some Brownian Martingales
David A. Lane
Ann. Probab. 6(3): 499-508 (June, 1978). DOI: 10.1214/aop/1176995534

Abstract

Suppose $\{B_t\}_{t\geqq 0}$ is a standard 1-dimensional Brownian motion, and $f$ is a continuous function with nonaccumulating zero set. For $t \geqq 0$, let $M_t = \int^t_0 f(B_s) dB_s$. When does $M$ generate the same fields as $B$? When does $M$ generate the same fields as some Brownian motion? The answers to these questions are obtained; they involve the behavior of $f$ around its zeros. Also, either $M$ generates the same fields as some Brownian motion, or the fields of $M$ support discontinuous martingales.

Citation

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David A. Lane. "On the Fields of Some Brownian Martingales." Ann. Probab. 6 (3) 499 - 508, June, 1978. https://doi.org/10.1214/aop/1176995534

Information

Published: June, 1978
First available in Project Euclid: 19 April 2007

zbMATH: 0391.60045
MathSciNet: MR482987
Digital Object Identifier: 10.1214/aop/1176995534

Subjects:
Primary: 60G45
Secondary: 60H05

Rights: Copyright © 1978 Institute of Mathematical Statistics

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Vol.6 • No. 3 • June, 1978
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