Brownian endpoint sufficiency for a constant drift

ID: brownian-endpoint-sufficiency-for-a-constant-drift

For and fixed , subtracting leaves the Brownian bridge . It is independent of , since it is independent of and has zero covariance with in their jointly Gaussian law. The observed path is determined by this bridge and its endpoint, so the bridge gives no further information about . Hence conditioning on the full observation filtration at gives the same posterior as conditioning on alone.

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