Classical bi-Poisson process: an invertible quadratic harness
classification
🧮 math.PR
keywords
processquadraticbi-poissonclassicalconstructiondiscreteelementaryexcept
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We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in our previous papers and can be regarded as a random joint of two independent Poisson processes.
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