On integrability of quadratic harnesses

Details On integrability of quadratic harnesses On integrability of quadratic harnesses

2011-10-06

arxiv.org/abs/1110.1135v1

Mathematics

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Scientific paper

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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