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.
Publié le : 1988-04-14
Classification:
Semimartingale,
time reversal,
expansion of filtrations,
Levy process,
processes with stationary and independent increments,
Brownian motion,
local time,
additive functionals,
60H44,
60H05,
60J30,
60J65
@article{1176991776,
author = {Jacod, Jean and Protter, Philip},
title = {Time Reversal on Levy Processes},
journal = {Ann. Probab.},
volume = {16},
number = {4},
year = {1988},
pages = { 620-641},
language = {en},
url = {http://dml.mathdoc.fr/item/1176991776}
}
Jacod, Jean; Protter, Philip. Time Reversal on Levy Processes. Ann. Probab., Tome 16 (1988) no. 4, pp. 620-641. http://gdmltest.u-ga.fr/item/1176991776/