Before revision: In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triple of processes, (X,Y,T), where X and Y are independent Brownian motions.
After revision: In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are represented by a triplet of processes, (X,Y,T), where X and Y are independent Brownian motions.