On integrability of quadratic harnesses

MaRDI QIDQ4898879zbMATH OpenFDO

Authors Włodek Bryc

Publication date 3 January 2013

Full work available at URL https://arxiv.org/abs/1110.1135

zbMATH Keywords

integrabilitypolynomial regressionquadratic harnesses

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25)

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.

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Cited in

(4)

• Bridges of quadratic harnesses
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• Free quadratic harness
• On algebraic integrals of the motion of a point over a quadric in a quadratic potential

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