On integrability of quadratic harnesses
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Publication:4898879
zbMATH Open1260.60027arXiv1110.1135MaRDI QIDQ4898879
Publication date: 3 January 2013
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.
Full work available at URL: https://arxiv.org/abs/1110.1135
Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25)
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