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

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

Harnesses, LÚvy bridges and Monsieur Jourdain

Auteur(s):

Code(s) de Classification MSC:

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

Mots ClÚs: Harnesses ; LÚvy processes ; past-future martingales ; enlargement of filtration

Date: 2004-02-26

Prépublication numéro: PMA-885