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Time Reversal on Levy Processes

Jean Jacod and Philip Protter
The Annals of Probability
Vol. 16, No. 2 (Apr., 1988), pp. 620-641
Stable URL: http://www.jstor.org/stable/2243828
Page Count: 22
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Time Reversal on Levy Processes
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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.

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