Conditional moments of q-Meixner processes
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Publication:1780982
DOI10.1007/S00440-004-0379-2zbMATH Open1118.60065arXivmath/0403016OpenAlexW3104124625MaRDI QIDQ1780982FDOQ1780982
Authors: Jacek Wesołowski, Włodek Bryc 
Publication date: 15 June 2005
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: We show that stochastic processes with linear conditional expectations and quadratic conditional variances are Markov, and their transition probabilities are related to a three-parameter family of orthogonal polynomials which generalize the Meixner polynomials. Special cases of these processes are known to arise from the non-commutative generalizations of the Levy processes.
Full work available at URL: https://arxiv.org/abs/math/0403016
Recommendations
harnessesquadratic conditional varianceshypergeometric orthogonal polynomials2-Meixner processesclassical versions of non-commutative processespolynomial martingalesfree Lévy processes
Population dynamics (general) (92D25) Continuous-time Markov processes on general state spaces (60J25)
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