Brownian filtrations are not stable under equivalent time-changes.

Michel Emery (1) , Walter Schachermayer

1 IRMA - Institut de Recherche Mathématique Avancée

A non-cosy filtration indexed by Z is constructed. The idea underlying this construction is used to exhibit a smooth and strictly increasing time-change of ``the'' Brownian filtration, such that the time-changed filtration is not cosy---and consequently not Brownian.

Mots clés: Brownian filtration; time-change; "Brownian filtration; cosiness; time-change"

Domaines: Probabilités [math.PR]

Michel Emery, Walter Schachermayer. Brownian filtrations are not stable under equivalent time-changes.. 1998. ⟨hal-00129581⟩