Drift, partial drift and Darwin's proposition
نویسندگان
چکیده
منابع مشابه
HIDING THE DRIFT 3 Proposition
In this article we consider a Brownian motion with drift, denoted by S = (St)t≥0, of the form dSt = μtdt+ dBt for t ≥ 0, with a specific non-trivial drift predictable with respect to F , the natural filtration of the Brownian motion B = (Bt)t≥0. We construct a process H = (Ht)t≥0 also predictable with respect to F B such that ((H · S)t)t≥0 is a Brownian motion in its own filtration. Furthermore...
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ژورنال
عنوان ژورنال: Journal of Fluid Mechanics
سال: 1994
ISSN: 0022-1120,1469-7645
DOI: 10.1017/s0022112094002338