DC MetaData pour: Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes


Université Paris 6 Pierre et Marie Curie		Université Paris 7 Denis Diderot

	CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes

Auteur(s):

L. CHAUMONT
D.G. HOBSON

M. YOR

Code(s) de Classification MSC:

60J30 Processes with independent increments
60J20 Applications of discrete Markov processes (social mobility, learning theory, industrial processes, etc.), See Also {90B30, 92H10, 92H35, 92J40}

Résumé: In this paper we derive some distributional properties of Lévy processes and bridges from their cyclic exchangeability property. We first describe the $\sigma$-field which is invariant under the cyclic transformations. Then, by conditioning on this $\sigma$-field, we obtain information about the laws of many Brownian functionals, such as exponential functionals, quantiles and local time.

Mots Clés: Cyclic exchangeability ; Lévy and Brownian bridges ; exponential functionals

Date: 2000-03-15

Prépublication numéro: PMA-574