On the continuous dual Hahn process (Q2059690)
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scientific article; zbMATH DE number 7444676
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| English | On the continuous dual Hahn process |
scientific article; zbMATH DE number 7444676 |
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On the continuous dual Hahn process (English)
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14 December 2021
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The author extends the continuous dual Hahn process \((\mathbb{T}_t)\) of \textit{I. Corwin} and \textit{A. Knizel} [``Stationary measure for the open KPZ equation'', Preprint, \url{arXiv:2103.12253}] from a finite time interval to the entire real line by taking a limit of a closely related Markov process \((T_t).\) The processes \((T_t) \) are characterized by conditional means and variances under bidirectional conditioning, and it is proved that continuous dual Hahn polynomials are orthogonal martingale polynomials for both processes.
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continuous dual Hahn polynomials
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orthogonal martingale polynomials
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quadratic harness
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0.7641502618789673
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0.7500603795051575
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0.7449820041656494
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