Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks 8 (2020) 4, pp. 1-22
the normalized variance-gamma bridge. We show that the normalized variance-gamma bridge and the associated gamma bridge …-called variance-gamma information process. The filtration is then taken to be generated by the information process together with the … gamma bridge. We show that the resulting extended information process has the Markov property and hence can be used to …