Hi,

Having a random variable X I am trying to find a stochastic process Z<sub>t</sub> such that:

P[Z<sub>t</sub> > T] = P[X > T | X > t]

for all T>t, or a proof that such a process does not exist.

Please note that this question is not related to any homework and that I actually need this result for my research in financial maths.