Let (left(B_{t}ight)_{t geqslant 0}) be a (mathrm{BM}^{d}) and assume that (X) is a (d)-dimensional random variable which
Question:
Let \(\left(B_{t}ight)_{t \geqslant 0}\) be a \(\mathrm{BM}^{d}\) and assume that \(X\) is a \(d\)-dimensional random variable which is independent of \(\mathscr{F}_{\infty}^{B}\).
a) Show that \(\widetilde{\mathscr{F}}_{t}:=\sigma\left(X, B_{s}: s \leqslant tight)\) defines an admissible filtration for \(\left(B_{t}ight)_{t \geqslant 0}\).
b) The completion \(\overline{\mathscr{F}}_{t}^{B}\) of \(\mathscr{F}_{t}^{B}\) is the smallest \(\sigma\)-algebra which contains \(\mathscr{F}_{t}^{B}\) and all subsets of \(\mathbb{P}\) null sets. Show that \(\left(\overline{\mathscr{F}}_{t}^{B}ight)_{t \geqslant 0}\) is admissible.
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: