AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION

作者：Hu Yaozhong^*

来源：Acta Mathematica Scientia, 2011, 31(5): 1671-1678.

• Brownian motion
• enlargement of filtration
• information flow

Let B-t be an F-t Brownian motion and G(t) be an enlargement of filtration of F-t from some Gaussian random variables. We obtain equations for h(t) such that B-t - h(t) is a G(t)-Brownian motion.

• 出版日期2011-9
• 单位东华大学