Harnesses, Lévy bridges and Monsieur Jourdain

DOI10.1016/J.SPA.2004.09.001MaRDI QIDQ2485829zbMATH OpenOpenAlexFDO

Authors Roger Mansuy, Marc Yor

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0406563

zbMATH Keywords

Enlargement of filtrationPast-future martingalesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

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.

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• A parallel between Brownian bridges and gamma bridges
• Exercises in Probability
• Harness processes and harmonic crystals
• Kendall's identity for the first crossing time revisited
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Properties of Large Eden Clusters in the Plane
• Tails in harnesses
• The serial harness interacting with a wall
• Time reversal on Lévy processes
• Two-parameter harnesses and the Wiener process
• Un théorème d'invariance projective relatif au mouvement brownien

Cited in

(21)

• A new CLT for additive functionals of Markov chains
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• An anticipative stochastic minimum principle under enlarged filtrations
• Approximation and simulation of infinite-dimensional Lévy processes
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• Generalised liouville processes and their properties
• Markov processes on time-like graphs
• Optimal insider control and semimartingale decompositions under enlargement of filtration
• A characterisation of the Gaussian free field
• On Markov processes with polynomial conditional moments
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach
• Stitching pairs of Lévy processes into harnesses
• Generalized stationary random fields with linear regressions - an operator approach
• Flows in near algebras with applications to harnesses
• The stochastic Leibniz formula for Volterra integrals under enlarged filtrations
• Zonal polynomials and a multidimensional quantum Bessel process
• The classical bi-Poisson process: an invertible quadratic harness
• Early bridge consultants, Benjamin Robins, F. R. S. and Charles Hutton, F. R. S. and mis-judged bridge designer, Thomas Paine
• Askey-Wilson polynomials, quadratic harnesses and martingales
• Wilson's \(6-j\) laws and stitched Markov processes
• Conditioned point processes with application to Lévy bridges

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