Bridges of quadratic harnesses
Probability
2013-09-16 v4
Abstract
Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Using an appropriately defined affine transformation we show that all bridges of a given quadratic harness can be transformed into other standard quadratic harnesses. Conversely, each such bridge is an affine transformation of a standard quadratic harness. We describe quadratic harnesses that correspond to bridges of some Levy processes. We determine all quadratic harnesses that may arise from stitching together a pair of q-Meixner processes.
Keywords
Cite
@article{arxiv.0903.0150,
title = {Bridges of quadratic harnesses},
author = {W. Bryc and J. Wesolowski},
journal= {arXiv preprint arXiv:0903.0150},
year = {2013}
}