Past exam of the continuous martingales and stochastic calculus course of the University of Oxford / 2023 / 1 / a / i

On a probability space $(\Omega ,\mathcal{F},\mathbb{P})$, a standard one-dimensional Brownian motion is a real-valued stochastic process $B=(B_t{)}_{t\ge 0}$ with $B_0=0$ almost surely, continuous sample paths almost surely, and independent increments, such thatHere the second parameter is the variance. Thus its Brownian increments have the normal distribution with mean zero and variance equal to elapsed time. Equivalently, relative to a specified filtration $({\mathcal{F}}_t)$, require $B$ to be an adapted process and $B_t-B_s$ to be independent of ${\mathcal{F}}_s$ with this normal distribution. Taking the natural Brownian filtration recovers the first definition.