XI: 08, 65-78, LNM 581 (1977)
EL KAROUI, Nicole;
MEYER, Paul-André
Les changements de temps en théorie générale des processus (
General theory of processes)
Given a filtration $({\cal F}_t)$ and a continuous adapted increasing process $(C_t)$, consider its right inverse $(j_t)$ and left inverse $(i_t)$, and the time-changed filtration $\overline{\cal F}_t={\cal F}_{j_t}$. The problem is to study the relation between optional/previsible processes of the time-changed filtration and time-changed optional/previsible processes of the original filtration, to see how the projections or dual projections are related, etc. The results are satisfactory, and require a lot of care
Comment: This paper was originally an exposition by the second author of an unpublished paper of the first author, and many ``I''s remained in spite of the final joint autorship. See the next paper
1109 for the discontinuous case
Keywords: Changes of timeNature: Original
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