Harnesses, Lévy bridges and Monsieur Jourdain

DOI10.1016/J.SPA.2004.09.001zbMATH Open1070.60041arXivmath/0406563OpenAlexW2093967571MaRDI QIDQ2485829FDOQ2485829

Authors: Roger Mansuy, Marc Yor 

Publication date: 5 August 2005

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

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.

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)

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Cited In (21)

• A new CLT for additive functionals of Markov chains
• An anticipative stochastic minimum principle under enlarged filtrations
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• Approximation and simulation of infinite-dimensional Lévy processes
• Generalised liouville processes and their properties
• Optimal insider control and semimartingale decompositions under enlargement of filtration
• Markov processes on time-like graphs
• A characterisation of the Gaussian free field
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach
• On Markov processes with polynomial conditional moments
• Generalized stationary random fields with linear regressions - an operator approach
• Stitching pairs of Lévy processes into harnesses
• 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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