On certain probabilities equivalent to coin-tossing, d'après Schachermayer.

Samia Beghdadi-Sakrani , Michel Emery (1)

1 IRMA - Institut de Recherche Mathématique Avancée

Dubins, Feldman, Smorodinsky and Tsirelson have constructed a change of probability on Wiener space (respectively: eternal coin-tossing), with density arbitrarily close to~1 (in uniform norm), but such that the canonical filtration has no standard extension for the new probability. Using Schachermayer's analysis of their construction, we show a stronger result: the canonical filtration is not cosy for the new probability.

Mots clés: Brownian filtration; probability-change; "Brownian filtration; cosiness; Girsanov transform; probability-change"

Domaines: Probabilités [math.PR]

Samia Beghdadi-Sakrani, Michel Emery. On certain probabilities equivalent to coin-tossing, d'après Schachermayer.. 1998. ⟨hal-00129580⟩