M\"untz linear transforms of Brownian motion

Abstract

We consider a class of linear Volterra transforms of Brownian motion associated to a sequence of M\"untz Gaussian spaces and determine explicitly their kernels; some interesting links with M\"untz-Legendre polynomials are provided. This gives new explicit examples of progressive Gaussian enlargement of the Brownian filtration. By exploiting a link to stationarity, we give a necessary and sufficient condition for the existence of kernels of infinite order associated to an infinite dimensional M\"untz Gaussian space; we also examine when the transformed Brownian motion remains a semimartingale in the filtration of the original process.