Common-clock Brownian representation of radius and area

ID: common-clock-brownian-representation-of-radius-and-area

Jointly time-change the radial and area martingales by the inverse of . The bracket matrix becomes , so the Lévy characterization of multidimensional Brownian motion gives two independent Brownian coordinates. The clock is strictly increasing; if it were finite at infinity, the radial martingale would converge and would force its integral to diverge. Thus and with independent.

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