DC MetaData pour: Harnesses, Lévy bridges and <i>Monsieur Jourdain</i>


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

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

Harnesses, Lévy bridges and Monsieur Jourdain

Auteur(s):

R. MANSUY

M. YOR

Code(s) de Classification MSC:

60G48 Generalizations of martingales
60G51 Processes with independent increments
60G44 Martingales with continuous parameter
60G10 Stationary processes

Résumé: Relations between harnesses ([Ham67], [Wil80]) and initial enlargements of the filtration of a Lévy process with its positions at fixed times are investigated.

Mots Clés: Harnesses ; Lévy processes ; past-future martingales ; enlargement of filtration

Date: 2004-02-26

Prépublication numéro: PMA-885