Bridges of quadratic harnesses

W. Bryc; J. Wesolowski

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arXiv · 0903.0150

Bridges of quadratic harnesses

W. Bryc·J. Wesolowski

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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.

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W. Bryc, J. Wesolowski. 2009-03-01. Bridges of quadratic harnesses. https://arxiv.org/abs/0903.0150

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