The bi-Poisson process: A quadratic harness
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Publication:2482282
DOI10.1214/009117907000000268zbMATH Open1137.60036arXivmath/0510208OpenAlexW3103173339MaRDI QIDQ2482282FDOQ2482282
Authors: W. Matysiak, Jacek Wesołowski, Włodek Bryc 
Publication date: 16 April 2008
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and martingale polynomials. The construction uses a two-parameter extension of the Al-Salam--Chihara polynomials and a relation between these polynomials for different values of parameters.
Full work available at URL: https://arxiv.org/abs/math/0510208
Recommendations
harnessesquadratic conditional varianceshypergeometric orthogonal polynomialsorthogonal martingale polynomials
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Cited In (20)
- Bridges of quadratic harnesses
- Asymmetric simple exclusion process with open boundaries and quadratic harnesses
- Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
- On the structure and probabilistic interpretation of Askey-Wilson densities and polynomials with complex parameters
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- On the families of polynomials forming a part of the Askey–Wilson scheme and their probabilistic applications
- Coherent states attached to the quantum disc algebra and their associated polynomials
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