On a Lévy process pinned at random time

DOI10.1515/forum-2019-0324zbMath1497.60058OpenAlexW3111796183MaRDI QIDQ2126289

Mohammed Louriki, Astrid Hilbert, Mohamed Erraoui

Publication date: 19 April 2022

Published in: Forum Mathematicum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/forum-2019-0324

zbMATH Keywords

Lévy processesMarkov processesBayes theoremlast passage timepinned Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)

Related Items

Brownian bridge with random length and pinning point for modelling of financial information

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