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Classical bi-Poisson process: an invertible quadratic harness

Wlodzimierz Bryc·Jacek Wesolowski
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Abstract

We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in our previous papers and can be regarded as a random joint of two independent Poisson processes.

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Wlodzimierz Bryc, Jacek Wesolowski. 2005-08-20. Classical bi-Poisson process: an invertible quadratic harness. https://arxiv.org/abs/math/0508383

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