AN ENLARGEMENT OF FILTRATION FOR BROWNIAN MOTION  

作　　者：胡耀忠 

机构地区：[1]Department of Mathematics, Donghua University [2]Department of Mathematics, University of Kansas, Lawrence, Kansas 66045-2142, U.S.A.

出　　处：《Acta Mathematica Scientia》2011年第5期1671-1678,共8页数学物理学报（B辑英文版）

摘　　要：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.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.

关 键 词：Brownian motion enlargement of filtration information flow 

分 类 号：O211.6[理学—概率论与数理统计]