n*********y
发帖数: 54 | 1 如果W(t)是Brown Motion w.r.t {F_t} as a filtration
W(t-r), r>0, 也是关于{F_t}的BM吧？除此以外还能得到W(t-r)的什么信息？
谢谢！！ | t**********a
发帖数: 166 | 2 Don't think so,
for the new process V(t) = W(t-r), V(t+d)-V(t)=W(t-r+d)-W(t-r) for d
r+d)-W(t-r) is known to {F_t}, thus expectation is nonzero. |
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