Stitching pairs of Lévy processes into harnesses (Q436295)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stitching pairs of Lévy processes into harnesses |
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Stitching pairs of Lévy processes into harnesses (English)
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20 July 2012
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This paper studies natural exponential family of Lévy processes where the parameter in the exponential exponent is random. The authors describe how pairs of randomised conditionally independent Lévy processes can be stitched together which results in a single harness. Also, in the case that the Lévy processes belong to the Meixner class, then the stitching construction leads to quadratic harnesses.
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Meixner processes
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martingale characterization
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quadratic conditional variances
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harnesses
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natural exponential families of Lévy processes
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