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Let $(X, W)$ be a weak solution to a SDE. Is $W$ a Brownian motion w.r.t. $\sigma(X_s : s \l...

Let $(X, W)$, $(\Omega, \mathcal{F}, \mathbb{P})$, $\{\mathcal{F}_t\}$ be a weak solution to an SDE. Per definition $W$ is an $\mathcal{F}_t$-Brownian motion and both $X$, $W$ are adapted to $\mathcal …