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Harnesses, Lévy bridges and Monsieur Jourdain

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  • Mansuy, Roger
  • Yor, Marc

Abstract

Relations between harnesses and initial enlargements of the filtration of a Lévy process with its positions at fixed times are investigated.

Suggested Citation

  • Mansuy, Roger & Yor, Marc, 2005. "Harnesses, Lévy bridges and Monsieur Jourdain," Stochastic Processes and their Applications, Elsevier, vol. 115(2), pages 329-338, February.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:2:p:329-338
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    Cited by:

    1. Matysiak, Wojciech & Świeca, Marcin, 2015. "Zonal polynomials and a multidimensional quantum Bessel process," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3430-3457.
    2. Bryc, Wlodzimierz & Wesolowski, Jacek, 2006. "The classical bi-Poisson process: An invertible quadratic harness," Statistics & Probability Letters, Elsevier, vol. 76(15), pages 1664-1674, September.
    3. Kassberger, Stefan & Liebmann, Thomas, 2012. "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1304-1310.
    4. Peligrad, Magda, 2020. "A new CLT for additive functionals of Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5695-5708.

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