Decreasing sequences of sigma-fields and a measure change for Brownian motion
成果类型：
Article
署名作者：
Dubins, L; Feldman, J; Smorodinsky, M; Tsirelson, B
署名单位：
Tel Aviv University
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
1996
页码：
882-904
关键词：
摘要：
Let (f(t))t(greater than or equal to 0) be the filtration of a Brownian motion (B(t))t(greater than or equal to 0) on (Omega,f,P). An example is given of a measure Q similar to P (in the sense of absolute continuity) for which (f(t))(t greater than or equal to 0) is not the filtration of any Brownian motion on (Omega,f,Q). This settles a 15-year-old question.