Markov processes, polynomial martingales and orthogonal polynomials
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Publication:5085827
Abstract: We study general properties for the family of stochastic processes with polynomial regression property, that is that every conditional moment of the process is a polynomial. It turns out that then there exists a family of polynomial martingales that contains complete information on the distribution (both marginal and transitional) of the process. We specify conditions expressed in terms of under which a given process has independent increments and further is a Levy process, contains reversed martingales, is a harness or quadratic harness. We also give conditions under which some of these martingales are also reversed martingales.
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Cited in
(20)- Stochastic processes with orthogonal polynomial eigenfunctions
- On the rate of convergence of the laws of Markov chains associated with orthogonal polynomials
- Free martingale polynomials.
- Conditional moments of \(q\)-Meixner processes
- Time-space polynomial martingales generated by a discrete-time martingale
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- On Markov processes with polynomial conditional moments
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