Information-Equivalence: On Filtrations Created by Independent Increments

10 Pages Posted: 1 Jun 2006 Last revised: 5 Jan 2009

Date Written: May 1, 2006

Abstract

This article investigates filtrations created by the increments-processes of processes with independent increments: Suppose two processes create the same filtrations, when will the processes of their increments also create the same filtrations?

Our main result is that the processes of increments of two extremal continuous martingales with independent increments create the same filtrations if and only if either process admits a deterministic representation with respect to the other.

Keywords: Brownian Filtrations, Independent Increments, Equivalent Information

JEL Classification: D80

Suggested Citation

Buehler, Hans, Information-Equivalence: On Filtrations Created by Independent Increments (May 1, 2006). Available at SSRN: https://ssrn.com/abstract=905363 or http://dx.doi.org/10.2139/ssrn.905363

Hans Buehler (Contact Author)

JP Morgan ( email )

4/F, 25 Bank Street
London, E14 5JP
United Kingdom

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