Filtered Azéma martingales

We study the optional projection of a standard Brownian motion on the natural filtration of certain kinds of observation processes. The observation process, Y, is defined as a solution of a stochastic differential equation such that it reveals some (possibly noisy) information about the signs of the Brownian motion when Y hits 0. As such, the associated optional projections are related to Azéma's martingales which are obtained by projecting the Brownian motion onto the filtration generated by observing its signs.