Stitching pairs of Lévy processes into harnesses

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.Processes in the Lévy–Meixner class have an additional property that they are quadratic harnesses, and in this case stitching constructions produce quadratic harnesses on [0,∞)[0,∞).