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 systemsNature: Original
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