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An enlargement of filtration for Brownian motion |
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| Authors: | Hu Yaozhong |
| Institution: | aDepartment of Mathematics, Donghua University, Shanghai 200051, China;bDepartment of Mathematics, University of Kansas, Lawrence, Kansas 66045-2142, U.S.A. |
| Abstract: | Let Bt be an Ft Brownian motion and Gt be an enlargement of filtration of Ft from some Gaussian random variables. We obtain equations for ht such that Bt – ht is a Gt-Brownian motion. |
| Keywords: | Brownian motion enlargement of filtration information flow |
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