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2012 Bridges of quadratic harnesses
Włodek Bryc, Jacek Wesołowski
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Electron. J. Probab. 17: 1-25 (2012). DOI: 10.1214/EJP.v17-1866

Abstract

Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Motivated by a question raised in Émery and Yor (2004) we give explicit formulas for bridges of such processes. Using an appropriately defined f transformation we show that all bridges of a given quadratic harness can be transformed into other standard quadratic harnesses. Conversely, each such bridge is anf-transformation of a standard quadratic harness. We describe quadratic harnesses that correspond to bridges of some Lévy processes. We determine all quadratic harnesses that may arise from stitching together a pair of q-Meixner processes.

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Włodek Bryc. Jacek Wesołowski. "Bridges of quadratic harnesses." Electron. J. Probab. 17 1 - 25, 2012. https://doi.org/10.1214/EJP.v17-1866

Information

Accepted: 21 December 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1291.60151
MathSciNet: MR3015689
Digital Object Identifier: 10.1214/EJP.v17-1866

Subjects:
Primary: 60J25

Keywords: Bridges , harnesses , Lévy-Meixner processes , Quadratic conditional variances

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Vol.17 • 2012
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