Stitching pairs of Lévy processes into harnesses |
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Authors: | Włodek Bryc Jacek Wesołowski |
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Affiliation: | 1. Department of Mathematics, University of Cincinnati, PO Box 210025, Cincinnati, OH 45221-0025, USA;2. Faculty of Mathematics and Information Science, Warsaw University of Technology, pl. Politechniki 1, 00-661 Warszawa, Poland |
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Abstract: | We consider natural exponential families of Lévy processes with randomized parameter. Such processes are Markov, and under suitable assumptions, pairs of such processes with shared randomization can be “stitched together” into a single harness. The stitching consists of deterministic reparametrization of the time for both processes, so that they run on adjacent time intervals, and of the choice of the appropriate law at the boundary. |
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Keywords: | 60G48 60J99 60G51 |
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