A few remarks on quadratic harnesses

DOI10.1080/10236198.2013.864643zbMATH Open1319.39005arXiv1207.1172OpenAlexW2094544470MaRDI QIDQ2941707FDOQ2941707

Authors: Paweł Jerzy Szabłowski 

Publication date: 24 August 2015

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Abstract: We analyze and partially solve system of recurrences that can be derived from the properties of martingale orthogonal polynomials that characterize quadratic harnesses (QH). We also specify conditions for the existence of moments of one dimensional distribution for large classes of quadratic harnesses that are also Markov processes complementing earlier results.

Full work available at URL: https://arxiv.org/abs/1207.1172

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zbMATH Keywords

system of difference equations\(q\)-seriesorthogonal polynomialsthree-term recurrence

Mathematics Subject Classification ID

Basic orthogonal polynomials and functions (Askey-Wilson polynomials, etc.) (33D45) Additive difference equations (39A10) Difference equations, scaling ((q)-differences) (39A13) Martingales with continuous parameter (60G44)

Cites Work

• The classical moment problem as a self-adjoint finite difference operator
• Hypergeometric orthogonal polynomials and their \(q\)-analogues. With a foreword by Tom H. Koornwinder
• Title not available (Why is that?)
• Conditional moments of \(q\)-Meixner processes
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• Stitching pairs of Lévy processes into harnesses
• BI-POISSON PROCESS
• Free quadratic harness
• The bi-Poisson process: A quadratic harness
• Askey-Wilson polynomials, quadratic harnesses and martingales

Cited In (11)

• Bridges of quadratic harnesses
• On integrability of quadratic harnesses
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• The bi-Poisson process: A quadratic harness
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach
• On Markov processes with polynomial conditional moments
• Flows in near algebras with applications to harnesses
• Moments of \(q\)-normal and conditional \(q\)-normal distributions
• Free quadratic harness
• Markov processes, polynomial martingales and orthogonal polynomials
• Wilson's \(6-j\) laws and stitched Markov processes

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