Bridges of quadratic harnesses
| Dublin Core | PKP Metadata Items | Metadata for this Document | |
| 1. | Title | Title of document | Bridges of quadratic harnesses |
| 2. | Creator | Author's name, affiliation, country | Włodek Bryc; University of Cincinnati; United States |
| 2. | Creator | Author's name, affiliation, country | Jacek Wesołowski; Warsaw University of Technology; Poland |
| 3. | Subject | Discipline(s) | |
| 3. | Subject | Keyword(s) | bridges; harnesses; Lévy-Meixner processes; quadratic conditional variances |
| 3. | Subject | Subject classification | 60J25 |
| 4. | Description | 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. |
| 5. | Publisher | Organizing agency, location | |
| 6. | Contributor | Sponsor(s) | NSF |
| 7. | Date | (YYYY-MM-DD) | 2012-12-21 |
| 8. | Type | Status & genre | Peer-reviewed Article |
| 8. | Type | Type | |
| 9. | Format | File format | PDF, Untitled () |
| 10. | Identifier | Uniform Resource Identifier | http://ejp.ejpecp.org/article/view/1866 |
| 10. | Identifier | Digital Object Identifier | 10.1214/EJP.v17-1866 |
| 11. | Source | Journal/conference title; vol., no. (year) | Electronic Journal of Probability; Vol 17 |
| 12. | Language | English=en | en |
| 14. | Coverage | Geo-spatial location, chronological period, research sample (gender, age, etc.) | |
| 15. | Rights | Copyright and permissions | The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available. Summary of the Creative Commons Attribution License You are free
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