The Annals of Probability

Time Reversal on Levy Processes

Jean Jacod and Philip Protter

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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.

Article information

Source
Ann. Probab. Volume 16, Number 2 (1988), 620-641.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aop/1176991776

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aop/1176991776

Mathematical Reviews number (MathSciNet)
MR929066

Zentralblatt MATH identifier
0646.60052

Subjects
Primary: 60H44
Secondary: 60H05: Stochastic integrals 60J30 60J65: Brownian motion [See also 58J65]

Keywords
Semimartingale time reversal expansion of filtrations Levy process processes with stationary and independent increments Brownian motion local time additive functionals

Citation

Jacod, Jean; Protter, Philip. Time Reversal on Levy Processes. Ann. Probab. 16 (1988), no. 2, 620--641. doi:10.1214/aop/1176991776. http://projecteuclid.org/euclid.aop/1176991776.


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