Hiding a constant drift
Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011) no. 2, pp. 498-514.

La question suivante a été posée par Marc Yor: Soit B un mouvement Brownien et St=t+Bt. Peut-on définir un processus H qui est -prévisible tel que l'intégrale stochastique (H⋅S) soit un mouvement Brownien (sans drift) pour sa propre filtration ? Dans cet article nous fournissons une réponse affirmative en relâchant la condition que H soit -prévisible. Autrement dit, nous montrons qu'il existe une solution faible pour cette question de Yor. La question originale (c'est à dire, l'existence d'une solution forte) reste ouverte.

The following question is due to Marc Yor: Let B be a brownian motion and St=t+Bt. Can we define an -predictable process H such that the resulting stochastic integral (H⋅S) is a brownian motion (without drift) in its own filtration, i.e. an -brownian motion? In this paper we show that by dropping the requirement of -predictability of H we can give a positive answer to this question. In other words, we are able to show that there is a weak solution to Yor's question. The original question, i.e., existence of a strong solution, remains open.

DOI : 10.1214/10-AIHP363
Classification : 60H05, 60G44, 60J65, 60G05, 60H10
Mots-clés : brownian motion with drift, stochastic integral, enlargement of filtration 
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Prokaj, Vilmos; Rásonyi, Miklós; Schachermayer, Walter. Hiding a constant drift. Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011) no. 2, pp. 498-514. doi : 10.1214/10-AIHP363. http://www.numdam.org/articles/10.1214/10-AIHP363/

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