Ann. Probab.16(2):620-641(April, 1988).DOI: 10.1214/aop/1176991776
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Abstract
Time reversal of semimartingales defined on a Levy process framework is considered. Usually semimartingales cannot be time-reversed such that the reversed process is still a semimartingale. An expansion-of-filtrations result for Levy processes is established and then it is used to give sufficient conditions such that a semimartingale defined on a Levy process can be time-reversed and still remain a semimartingale.
Citation
Jean Jacod.Philip Protter."Time Reversal on Levy Processes."Ann. Probab.16(2)620 - 641,April, 1988.https://doi.org/10.1214/aop/1176991776
Information
Published: April, 1988
First available in Project Euclid: 19 April 2007
zbMATH:0646.60052
MathSciNet:MR929066
Digital Object Identifier: 10.1214/aop/1176991776
Subjects:
Primary: 60H44
Secondary: 60H05, 60J30, 60J65
Keywords: Additive functionals, Brownian motion, expansion of filtrations, Levy process, Local time, processes with stationary and independent increments, Semimartingale, Time reversal
Rights: Copyright © 1988 Institute of Mathematical Statistics
Jean Jacod, Philip Protter "Time Reversal on Levy Processes," The Annals of Probability, Ann. Probab. 16(2), 620-641, (April, 1988)Include: Format:
