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Let $B$ be a Brownian motion with natural filtration $(\mathcal{F}_t)_{t\geq 0}$ and let $\mathcal{H}_t$ be the $\sigma$-algebra generated by $\mathcal{F}_t$ and $B_1$.

Define

$A_t = B_t-\int_0^{\min(t,1)} \frac{B_1-B_s}{1-s}ds$

I'm trying to show that $A_t$ is a Brownian motion with respect to $(\mathcal{H_t})_{t\geq0}$.

As a first step, I'm attempting to show that $A_t$ is a martingale, but haven't made much progress.

Thank you.

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    @cardinal, good point. Let $X_s=B_s-sB_1$, then the process $(X_s)_{0\le s\le 1}$ is a Brownian **bridge** (from $0$ to $0$ at time $1$) and is independent on $B_1$.2011-09-24

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Look at the quadratic variation of the process.

Regards.

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    Elaborting on TheBridge's answer you should be aware that one of the 'easy' ways to check a process is a brownian motion is to use Levy's Characterization theorem: http://almostsure.wordpress.com/2010/04/13/levys-characterization-of-brownian-motion/. Computationally the majority of the proof can be reduced to checking the quadratic variation $[X]_t =t$.2011-09-25