@article{EJP1866,
author = {Włodek Bryc and Jacek Wesołowski},
title = {Bridges of quadratic harnesses},
journal = {Electron. J. Probab.},
fjournal = {Electronic Journal of Probability},
volume = {17},
year = {2012},
keywords = {bridges; harnesses; Lévy-Meixner processes; quadratic conditional variances},
abstract = {Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Motivated by a question raised in Émery and Yor (2004) we give explicit formulas for bridges of such processes. Using an appropriately defined f transformation we show that all bridges of a given quadratic harness can be transformed into other standard quadratic harnesses. Conversely, each such bridge is anf-transformation of a standard quadratic harness. We describe quadratic harnesses that correspond to bridges of some Lévy processes. We determine all quadratic harnesses that may arise from stitching together a pair of q-Meixner processes.},
pages = {no. 105, 1-25},
issn = {1083-6489},
doi = {10.1214/EJP.v17-1866},
url = {http://ejp.ejpecp.org/article/view/1866}}