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 leftMn(Xt,t)ightngeq1 that contains complete information on the distribution (both marginal and transitional) of the process. We specify conditions expressed in terms of Mnprimes 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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