On integrability of quadratic harnesses
Probability
2013-09-16 v1
Abstract
We investigate integrability properties of processes with linear regressions and quadratic conditional variances. We establish the right order of dependence of which moments are finite on the parameter defined below, raising the question of determining the optimal constant.
Keywords
Cite
@article{arxiv.1110.1135,
title = {On integrability of quadratic harnesses},
author = {Wlodek Bryc},
journal= {arXiv preprint arXiv:1110.1135},
year = {2013}
}