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XV: 40, 590-603, LNM 850 (1981)

**STROOCK, Daniel W.**; **YOR, Marc**

Some remarkable martingales (Martingale theory)

This is a sequel to a well-known paper by the authors (*Ann. ENS,* **13**, 1980) on the subject of pure martingales. A continuous martingale $(M_t)$ with $<M,M>_{\infty}=\infty$ is pure if the time change which reduces it to a Brownian motion $(B_t)$ entails no loss of information, i.e., if $M$ is measurable w.r.t. the $\sigma$-field generated by $B$. The first part shows the purity of certain stochastic integrals. Among the striking examples considered, the stochastic integrals $\int_0^t B^n_sdB_s$ are extremal for every integer $n$, pure for $n$ odd, but nothing is known for $n$ even. A beautiful result unrelated to purity is the following: complex Brownian motion $Z_t$ starting at $z_0$ and its (Lévy) area integral generate the same filtration if and only if $z_0\neq0$

Keywords: Pure martingales, Previsible representation

Nature: Original

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Some remarkable martingales (Martingale theory)

This is a sequel to a well-known paper by the authors (

Keywords: Pure martingales, Previsible representation

Nature: Original

Retrieve article from Numdam