The integrability conjecture for quadratic harnesses

Let (Xt)t(1δ,1+δ)(X_t)_{t\in(1-\delta,1+\delta)} be a quadratic harness on (1δ,1+δ)(1-\delta,1+\delta) for some δ>0\delta>0, with parameters (η,θ,σ,τ,γ)(\eta,\theta,\sigma,\tau,\gamma). For a fixed tt in this interval, consider the moments of XtX_t. Integrability conjecture. (i) If 0<στ<10<\sigma\tau<1 and 12στγ1+2στ1-2\sqrt{\sigma\tau}\leq\gamma\leq 1+2\sqrt{\sigma\tau}, then

E(Xtp)<\mathbb{E}(|X_t|^p)<\infty

for all 0p<2+1στ0\leq p<2+\frac{1}{\sigma\tau}. (ii) If στ\sigma\tau is small enough and 1γ12στ-1\leq\gamma\leq 1-2\sqrt{\sigma\tau}, then

E(Xtp)<\mathbb{E}(|X_t|^p)<\infty

for all p0p\geq 0. This describes the expected moment integrability of quadratic harnesses in parameter regimes determined by στ\sigma\tau and γ\gamma; the supplied text does not indicate whether the claim has been proved or remains open.

Sources & referencesView supporting material

Primary source

Wlodek Bryc, “On integrability of quadratic harnesses”, arXiv:1110.1135 (2011).

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