On sigma-algebras generated by differences of Brownian motion

brownian motionmeasure-theoryprobability theory

Let $B_t$ be a standard Brownian motion. Let $0< t_0 < t_1 <t_2$. Define

$$X= B_{t0} – aB_{t_1} – b B_{t_2}$$

for some $a,b>0$. Is it true that $\sigma(X)\subseteq \sigma(B_{t0} – B_{t_1}, B_{t0} – B_{t_2}, B_{t_1} – B_{t_2})$ ? Or is it true that $\sigma(X)\subseteq \sigma(\{B_t : t_0 \leq t \leq t_2\})$ ?

If it is not true, what should (minimally) be added to make it true ? If it is true, can we sharpen the result ?

Best Answer

Recall that $X \in \sigma(Y_1, \ldots, Y_k)$ iff there a measurable function $g : \mathbb{R}^k \to \mathbb{R}$ so that $X = g(Y_1, \ldots, Y_k)$. (This is the Doob-Dynkin lemma.)

First, note that $\sigma(B_{t_0} - B_{t_1}, B_{t0} - B_{t_2}, B_{t_1} - B_{t_2}) = \sigma(B_{t_0} - B_{t_1}, B_{t_1} - B_{t_2}) =: F$.

Let's note that $B_{t_0} \not \in F$: $B_{t_0}$ is independent from $F$ by independence of increments, and as long as $B_{t_0}$ is not deterministic it cannot be independent from itself. (Except in the case that $t_0 = 0$, so $B_{t_0} = 0$.)

Thus, if $X = B_{t_0} - a B_{t_1} - b B_{t_2} \in F$ for all $a,b$, then since taking limits preserves measurability, $B_{t_0}$ would be. This is a contradiction.

On the other hand, if you add $B_{t_0}$ into your sigma algebra, then it is the same as $\sigma( B_{t_0} , B_{t_1}, B_{t_2})$, so you can express $X$.

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