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Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem
Intensity process compensator filtration expansion approach the Jeulin--Yor theorem
2010/12/13
Let $(X_t)_{t\ge0}$ be a continuous-time, time-homogeneous strong Markov process with possible jumps and let $\tau$ be its first hitting time of a Borel subset of the state space. Suppose $X$ is sampl...