Bridges with random length: gamma case
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Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46) Jump processes on general state spaces (60J76)
Abstract: The aim objective of this paper is to show that certain basic properties of gamma bridges with deterministic length stay true also for gamma bridges with random length. Among them the Markov property as well as the canonical decomposition with respect to the usual augmentation of its natural filtration, which leads us to conclude that its completed natural filtration is right continuous.
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Cites work
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
- scientific article; zbMATH DE number 3193288 (Why is no real title available?)
- scientific article; zbMATH DE number 3193289 (Why is no real title available?)
- A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
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- Archimedean survival processes
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- Introductory lectures on fluctuations of Lévy processes with applications.
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- On continuous time models in the theory of dams
- Point processes and queues. Martingale dynamics
- Quasimartingales, martingales locales, semimartingales et filtration naturelle
- Some remarkable properties of gamma processes
- Stable-\(1/2\) bridges and insurance
- Storage problems
Cited in
(6)- Brownian bridge with random length and pinning point for modelling of financial information
- On a Lévy process pinned at random time
- Bridges with random length: Gaussian-Markovian case
- A parallel between Brownian bridges and gamma bridges
- Some remarkable properties of gamma processes
- Information-based approach: pricing of a credit risky asset in the presence of default time
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