Canonical decomposition of linear transformations of two independent Brownian motions

Hans Föllmer, Ching-Tang Wu & Marc Yor
Motivated by the Kyle-Back model of “insider trading”, we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which generate again a Brownian motion.
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