Conditional lévy processes
✍
E. Çinlar
📂
Article
📅
2003
🏛
Elsevier Science
🌐
English
⚖ 309 KB
These are processes A whose conditional laws, given some driving process X, are those of a process with independent increments. The treatment is limited to such increasing processes A, without assumptions on the law of X. Considering the time T of crossing some fixed threshold value by A, we derive