Assume that (left(B_{t}, mathscr{G}_{t}ight)_{t geqslant 0}) and (left(M_{t}, mathscr{F}_{t}ight)_{t geqslant 0}) are independent martingales. Show that (left(M_{t}ight)_{t
Question:
Assume that \(\left(B_{t}, \mathscr{G}_{t}ight)_{t \geqslant 0}\) and \(\left(M_{t}, \mathscr{F}_{t}ight)_{t \geqslant 0}\) are independent martingales. Show that \(\left(M_{t}ight)_{t \leqslant T}\) and \(\left(B_{t}ight)_{t \leqslant T}\) are martingales for the enlarged filtration \(\mathscr{H}_{t}:=\sigma\left(\mathscr{F}_{t}, \mathscr{G}_{t}ight)\).
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
Question Posted: