Hiding a Constant Drift—a Strong Solution

نویسندگان

  • VILMOS PROKAJ
  • WALTER SCHACHERMAYER
  • Marc Yor
چکیده

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 St =Bt+t. In other words, H hides the constant drift. This gives a positive answer to a question posed by Marc Yor.

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تاریخ انتشار 2012