Harnesses, Levy bridges and Monsieur Jourdain
Probability
2007-05-23 v2
Abstract
Relations between so-called harness processes and initial enlargements of the filtration of a Levy process with its positions at fixed times are investigated.
Cite
@article{arxiv.math/0406563,
title = {Harnesses, Levy bridges and Monsieur Jourdain},
author = {Roger Mansuy and Marc Yor},
journal= {arXiv preprint arXiv:math/0406563},
year = {2007}
}