Stochastic Processes – Difference Between Filtration for and Generated by Brownian Motion

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I'm reading Shreve's book "Stochastic Calculus for Finance: Vol II". In 5.3.1, after the Theorem 5.3.1 (Martingale representation, one dimension), Shreve explains: "The assumption that the filtration in Theorem 5.3.1 is the one generated by the Brownian motion is more restrictive than the assumption of Girsanov's Theorem, Theorem 5.2.3, in which the filtration can be larger than the one generated by Brownian motion."

So my question is what is the exact definition of "the filtration generated by a Brownian motion", and if possible, please give an example that one filtration is "for the Brownian motion" but not generated by it.

Thanks!

Best Answer

A filtration generated by Brownian motion simply means the smallest filtration with respect to which Brownian motion is adapted i.e. $$\mathcal{F}^B_t = \sigma \{B_s, \: s\leq t\}$$

On the other hand, a filtration for the Brownian motion, $\mathcal{F}_t$ is one to which the Brownian motion is adapted AND we have that for all $s<t$, $B_t - B_s$ is independent of $\mathcal{F}_s$. So notice that the filtration generated by the Brownian motion also satisfies these.

Now for your example. Let $X$ be a random variable independent of your Brownian motion. Then if we enlarge the Brownian filtration by adding in information about $X$: $$\mathcal{F}_t := \sigma \{X, B_s \: s\leq t\}$$ Then this is still a filtration for Brownian motion.