Stitching pairs of Lévy processes into harnesses

DOI10.1016/j.spa.2012.05.005zbMath1273.60056arXiv1110.1695OpenAlexW1974760188MaRDI QIDQ436295

Jacek Wesołowski, Wlodzimierz 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) Generalizations of martingales (60G48) Markov processes (60J99)

Related Items (5)

Flows in near algebras with applications to harnesses ⋮ On Markov processes with polynomial conditional moments ⋮ Markov processes, polynomial martingales and orthogonal polynomials ⋮ A few remarks on quadratic harnesses ⋮ Wilson's $6-j$ Laws and Stitched Markov Processes

Cites Work

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• Bridges of quadratic harnesses
• Martingale characterization of Pólya processes and sequences
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• Natural exponential families with quadratic variance functions
• Conjugate priors for exponential families
• Exponential families of stochastic processes
• Processes of Meixner type
• Stochastic processes and orthogonal polynomials
• Harnesses, Lévy bridges and Monsieur Jourdain
• The classical bi-Poisson process: an invertible quadratic harness
• Uniqueness of a result in the theory of accident proneness
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials

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