On a Lévy process pinned at random time (Q2126289)
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On a Lévy process pinned at random time (English)
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19 April 2022
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As to pinned stochastic processes at deterministic time, there are a lot of examples, such as Brownian, Gamma, Gaussian, Lévy and Markov bridges. [\textit{M. L. Bedini} et al., Theory Probab. Appl. 61, No. 1, 15--39 (2017; Zbl 1358.91105); translation from Teor. Veroyatn. Primen. 61, No. 1, 129--157 (2016); \textit{M. Erraoui} and \textit{M. Louriki}, Markov Process. Relat. Fields 24, No. 4, 669--693 (2018; Zbl 1406.60053); \textit{M. Erraoui} et al., J. Theor. Probab. 33, No. 2, 931--953 (2020; Zbl 1456.60095)] introduced the pinned Brownian motion, pinned Gaussian and Gamma process at random time using randomization approach. But the method can not be applied to general Lévy processes. This paper defined a one-dimensional Lévy process pinned at random time under the condition that it has transition densities with respect to Lebesgue measure. Some examples were given.
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Lévy processes
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pinned Lévy processes
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Markov processes
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Bayes theorem
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last passage time
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