XVI: 16, 212-212, LNM 920 (1982)
WALSH, John B.
A non-reversible semi-martingale (Stochastic calculus)
A simple example is given of a continuous semimartingale (a Brownian motion which stops at time $1$ and starts moving again at time $T>1$, $T$ encoding all the information up to time $1$) whose reversed process is not a semimartingale
Keywords: Semimartingales, Time reversal
Nature: Original
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