Harnesses, Lévy bridges and Monsieur Jourdain

Roger Mansuy and Marc Yor

Stochastic Processes and their Applications, 2005, vol. 115, issue 2, 329-338

Abstract: Relations between harnesses and initial enlargements of the filtration of a Lévy process with its positions at fixed times are investigated.

Keywords: Harnesses; Lévy; processes; Past-future; martingales; Enlargement; of; filtration (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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