On a Lévy process pinned at random time
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.
- A note on the existence of transition probability densities of Lévy processes
- A parallel between Brownian bridges and gamma bridges
- Absolute continuity of infinitely divisible distributions
- Arcsine Laws and Interval Partitions Derived from a Stable Subordinator
- Asymptotic behavior of the transition density for jump type processes in small time
- Bridges with random length: gamma case
- Bridges with random length: Gaussian-Markovian case
- Brownian bridges on random intervals
- Canonical representations and convergence criteria for processes with interchangeable increments
- Excursions of dual processes
- Expansion of transition distributions of Lévy processes in small time
- Gaussian bridges
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- Markovian bridges: weak continuity and pathwise constructions
- Mathematical methods for financial markets.
- Natural densities of Markov transition probabilities
- Occupation time distributions for Lévy bridges and excursions
- On the Infinitesimal Generators of Integral Convolutions
- Processes of normal inverse Gaussian type
- Semiclassical analysis for diffusions and stochastic processes
- Small-time expansions for the transition distributions of Lévy processes
- Splitting at backward times in regenerative sets
- Tempering stable processes
- The normal inverse gaussian lévy process: simulation and approximation
- Zeroes of Infinitely Divisible Densities
- Pinned diffusions and Markov bridges
- Conditioned point processes with application to Lévy bridges
- Brownian bridge with random length and pinning point for modelling of financial information
- Information-based approach: pricing of a credit risky asset in the presence of default time
- The impact of pinning points on memorylessness in Lévy random bridges
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