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math.PR2005
Tanaka formula for symmetric Lévy processes
Paavo Salminen, Marc Yor
Starting from the potential theoretic definition of the local times of a Markov process - when these exist - we obtain a Tanaka formula for the local times of symmetric Lévy proces…
math.PR2004
On local martingale and its supremum: harmonic functions and beyond
Jan Obloj, Marc Yor
We discuss certain facts involving a continuous local martingale and its supremum . A complete characterization of -harmonic functions is proposed. This y…
math.PR2004
Harnesses, Levy bridges and Monsieur Jourdain
Roger Mansuy, Marc Yor
Relations between so-called harness processes and initial enlargements of the filtration of a Levy process with its positions at fixed times are investigated.