On certain almost Brownian filtrations

@inproceedings{mery2005OnCA,
  title={On certain almost Brownian filtrations},
  author={Michel {\'E}mery},
  year={2005}
}
A consequence of Vershik’s results on discrete-time filtrations is the existence, in continuous time, of filtrations F = (Ft )t 0 which are “Brownian after zero” (that is, for each ε > 0,F ε = (Fε+t )t 0 is generated byFε and someF ε-Brownian motion), but not generated by F0 and any Brownian motion. Among the filtrations that are Brownian after zero, how are the Brownian ones characterized? An answer is given by the self-coupling criterion (ii) of Theorem 1. This criterion is satisfied whenF is… CONTINUE READING

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