Non-extremal martingale with Brownian filtration
Abstract
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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References
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