Non-extremal martingale with Brownian filtration | Zendy

Samia Sakrani | Zendy

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Non-extremal martingale with Brownian filtration

Author(s) -

Samia Sakrani

Publication year - 2022

Publication title -

boletim da sociedade paranaense de matemática

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.347

H-Index - 15

eISSN - 2175-1188

pISSN - 0037-8712

DOI - 10.5269/bspm.45542

Subject(s) - martingale (probability theory) , mathematics , brownian motion , filtration (mathematics) , martingale representation theorem , local martingale , pure mathematics , diffusion process , geometric brownian motion , statistics , computer science , knowledge management , innovation diffusion

Let (B_{t})_{t≥0} be the filtration of a Brownian motion (B_{t})_{t≥0} on (Ω,B,P). An example is given of an non-extremal martingale which generates the filtration (B_{t})_{t≥0}. We also discuss a property of pure martingales, we show here that it is a property of a filtration rather than a martingale.

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