Bridges of quadratic harnesses
Abstract
Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Using an appropriately defined affine transformation we show that all bridges of a given quadratic harness can be transformed into other standard quadratic harnesses. Conversely, each such bridge is an affine transformation of a standard quadratic harness. We describe quadratic harnesses that correspond to bridges of some Levy processes. We determine all quadratic harnesses that may arise from stitching together a pair of q-Meixner processes.
- Publication:
-
arXiv e-prints
- Pub Date:
- March 2009
- DOI:
- 10.48550/arXiv.0903.0150
- arXiv:
- arXiv:0903.0150
- Bibcode:
- 2009arXiv0903.0150B
- Keywords:
-
- Mathematics - Probability;
- 60J25
- E-Print:
- Electron. J. Probab. 17 (2012), no. 105, 1-25