Stitching pairs of Lévy processes into harnesses

DOI10.1016/J.SPA.2012.05.005MaRDI QIDQ436295zbMATH OpenOpenAlexFDO

Authors Jacek Wesołowski, Włodek Bryc

Publication date 20 July 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.1695

zbMATH Keywords

harnessesquadratic conditional variancesmartingale characterizationMeixner processesnatural exponential families of Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes (60J99) Generalizations of martingales (60G48)

Abstract: We consider natural exponential families of Levy processes with randomized parameter. Such processes are Markov, and under suitable assumptions, pairs of such processes with shared randomization can be stitched together into a single harness. The stitching consists of deterministic reparametrization of the time for both processes, so that they run on adjacent time intervals, and of the choice of the appropriate law at the boundary. Processes in the Levy-Meixner class have an additional property that they are quadratic harnesses, and in this case stitching constructions produce quadratic harnesses.

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Cites work

• scientific article; zbMATH DE number 1253515 (Why is no real title available?)
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Cited in

(6)

• On Markov processes with polynomial conditional moments
• Flows in near algebras with applications to harnesses
• Stationary, Markov, stochastic processes with polynomial conditional moments and continuous paths
• A few remarks on quadratic harnesses
• Markov processes, polynomial martingales and orthogonal polynomials
• Wilson's \(6-j\) laws and stitched Markov processes

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