Conditional characteristic-function criterion for Brownian increments

ID: conditional-characteristic-function-criterion-for-brownian-increments

For an adapted continuous process starting at zero, the displayed conditional characteristic function identifies every increment as and makes it independent of the preceding sigma-field. Multiply by the indicator of an event in that sigma-field, then use the uniqueness theorem for characteristic functions for finite measures. Thus the process is a Brownian motion in the given filtration.

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