Hiding a drift

Miklós Rásonyi, Walter Schachermayer, Richard Warnung

In this article we consider a Brownian motion with drift of the form \[dS_t=μ_t dt+dB_t\qquadfor t\ge0,\] with a specific nontrivial $({\mu }_t{)}_{t\ge 0}$, predictable with respect to $…