Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Weak conditioning for jump processes

Auteur(s):

Code(s) de Classification MSC:

RÚsumÚ: We develop the theory of weak conditioning initiated in [2, 5] in a general framework for semimartingales with jumps. An example is given based on LÚvy processes, for which the link to pure jump Schrödinger processes is exhibited.

Mots ClÚs: Weak conditioning ; martingales ; semimartingale decomposition ; LÚvy processes

Date: 2003-10-06

Prépublication numéro: PMA-851