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arXiv · 1110.1135

On integrability of quadratic harnesses

Wlodek Bryc
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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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Wlodek Bryc. 2011-10-06. On integrability of quadratic harnesses. https://arxiv.org/abs/1110.1135

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