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XXXII: 19, 264-305, LNM 1686 (1998)
BARLOW, Martin T.; ÉMERY, Michel; KNIGHT, Frank B.; SONG, Shiqi; YOR, Marc
Autour d'un théorème de Tsirelson sur des filtrations browniennes et non browniennes (Brownian motion, Filtrations)
Tsirelson has shown that no Walsh's Brownian motion with three rays or more can live in a Brownian filtration (GAFA 7, 1997). Using his methods, the result is extended to spider martingales. A conjecture of M. Barlow is also proved: if $L$ is an honest time in a (possibly multidimensional) Brownian filtration, then ${\cal F}_{L+}$ is generated by ${\cal F}_{L}$ and at most one event. Last, it is shown that a Walsh's Brownian motion can live in the filtration generated by another Walsh's Brownian motion only if the former is obtained from the latter by aggregating rays
Comment: On Tsirelson's theorem, see also Tsirelson, ICM 1998 vol. III, and M. Émery, Astérisque 282 (2002). A simplified proof of Barlow's conjecture is given in 3304. For more on Théorème 1 (Slutsky's lemma), see 3221 and 3325
Keywords: Filtrations, Spider martingales, Walsh's Brownian motion, Cosiness, Slutsky's lemma
Nature: New exposition of known results, Original additions
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