Browse by: Author name - Classification - Keywords - Nature

V: 33, 362-372, LNM 191 (1971)
WEIL, Michel
Conditionnement par rapport au passé strict (Markov processes)
Given a totally inaccessible terminal time $T$, it is shown how to compute conditional expectations of the future with respect to the strict past $\sigma$-field ${\cal F}_{T-}$. The formula involves the Lévy system of the process
Comment: B. Maisonneuve pointed out once that the paper, though essentially correct, has a small mistake somewhere. See Dellacherie-Meyer, Probabilité et Potentiels, Chap. XX 46--48
Keywords: Terminal times, Lévy systems
Nature: Original
Retrieve article from Numdam