On a Lévy process pinned at random time
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Mohamed Erraoui
Abstract
In this paper, our first goal is to rigorously define a Lévy process pinned at random time. Our second task is to establish the Markov property with respect to its completed natural filtration and thus with respect to the usual augmentation of the latter. The resulting conclusion is the right-continuity of completed natural filtration. Certain examples of such process are considered.
Funding source: Erasmus+
Award Identifier / Grant number: 2018-1-SE01-KA107-038889
Funding statement: The third author gratefully acknowledges financial support by an Erasmus+ International Credit Mobility exchange project coordinated by Linnaeus University.
Acknowledgements
The authors would like to express particular thanks to the anonymous referee for the constructive comments that greatly improved the manuscript, especially Examples 3.1 (ii) which concerns drifted Brownian motion. We also thank Hans-Jürgen Engelbert for helpful suggestions. This article has been finalized during a staff mobility of the second author at Cadi Ayyad University within this project.
Communicated by: Maria Gordina
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Articles in the same Issue
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Articles in the same Issue
- Frontmatter
- Lower bounds for regular genus and gem-complexity of PL 4-manifolds with boundary
- Free cyclic group actions on highly-connected 2n-manifolds
- The distinction problems for Sp4 and SO3,3
- Affine cones over cubic surfaces are flexible in codimension one
- Permutations of zero-sumsets in a finite vector space
- On the finiteness of solutions for polynomial-factorial Diophantine equations
- Galois action on Fuchsian surface groups and their solenoids
- On a Lévy process pinned at random time
- Borsuk–Ulam theorem for filtered spaces
- A non-commutative differential module approach to Alexander modules
- Generalized fractal dimensions of invariant measures of full-shift systems over compact and perfect spaces: generic behavior
- Quantum modularity of partial theta series with periodic coefficients
- Lyapunov-type inequalities for partial differential equations with 𝑝-Laplacian
- Zeros of GL2 𝐿-functions on the critical line
- Weighted boundedness of multilinear Calderón commutators
- Two characterizations of central BMO space via the commutators of Hardy operators
- Weyl 𝑛-algebras and the Swiss cheese operad
- Syzygies in equivariant cohomology in positive characteristic
- Epsilon factors of symplectic type characters in the wild case
