Free quadratic harness

DOI10.1016/J.SPA.2010.11.013zbMATH Open1226.60101arXiv1003.4771OpenAlexW1993010492MaRDI QIDQ550159FDOQ550159

Authors: W. Matysiak, Jacek Wesołowski, Włodek Bryc 

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Free quadratic harness is a Markov process from the class of quadratic harnesses, i.e. processes with linear regressions and quadratic conditional variances. The process has recently been constructed for a restricted range of parameters in the paper "Askey-Wilson polynomials, quadratic harnesses and martingales" by W. Bryc and J. Weso{l}owski using Askey--Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of parameters.

Full work available at URL: https://arxiv.org/abs/1003.4771

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zbMATH Keywords

harnessesquadratic conditional variances[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=free+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go free L��vy processes]hypergeometric orthogonal polynomialsorthogonal martingale polynomials

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Noncommutative probability and statistics (46L53)

Cites Work

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• Title not available (Why is that?)
• Orthogonal polynomials of several variables
• Recurrence relations, continued fractions, and orthogonal polynomials
• Conditional moments of \(q\)-Meixner processes
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• Semigroups of distributions with linear Jacobi parameters
• Necessary and sufficient condition that the limit of Stieltjes transforms is a Stieltjes transform
• BI-POISSON PROCESS
• The bi-Poisson process: A quadratic harness
• Askey-Wilson polynomials, quadratic harnesses and martingales

Cited In (14)

• Infinitesimal generators for a class of polynomial processes
• Bridges of quadratic harnesses
• On integrability of quadratic harnesses
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• The bi-Poisson process: A quadratic harness
• Dual Lukacs regressions for non-commutative variables
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach
• On Markov processes with polynomial conditional moments
• Stitching pairs of Lévy processes into harnesses
• Flows in near algebras with applications to harnesses
• Stationary, Markov, stochastic processes with polynomial conditional moments and continuous paths
• A few remarks on quadratic harnesses
• Markov processes, polynomial martingales and orthogonal polynomials
• Wilson's \(6-j\) laws and stitched Markov processes

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