On integrability of quadratic harnesses

zbMATH Open1260.60027arXiv1110.1135MaRDI QIDQ4898879FDOQ4898879

Authors: Włodek Bryc 

Publication date: 3 January 2013

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.

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

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zbMATH Keywords

integrabilitypolynomial regressionquadratic harnesses

Mathematics Subject Classification ID

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

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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