The integrability conjecture for quadratic harnesses
Let (Xt)t∈(1−δ,1+δ)(X_t)_{t\in(1-\delta,1+\delta)}(Xt)t∈(1−δ,1+δ) be a quadratic harness on (1−δ,1+δ)(1-\delta,1+\delta)(1−δ,1+δ) for some δ>0\delta>0δ>0, with parameters (η,θ,σ,τ,γ)(\eta,\theta,\sigma,\tau,\gamma)(η,θ,σ,τ,γ). For a fixed ttt in th…
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