Askey-Wilson polynomials, quadratic harnesses and martingales
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Publication:984449
DOI10.1214/09-AOP503zbMATH Open1201.60077arXiv0812.0657MaRDI QIDQ984449FDOQ984449
Authors: Jacek Wesołowski, Włodek Bryc 
Publication date: 19 July 2010
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: We use orthogonality measures of Askey--Wilson polynomials to construct Markov processes with linear regressions and quadratic conditional variances. Askey--Wilson polynomials are orthogonal martingale polynomials for these processes.
Full work available at URL: https://arxiv.org/abs/0812.0657
harnesshypergeometric orthogonal polynomialorthogonal martingale polynomialquadratic conditional variance
Continuous-time Markov processes on general state spaces (60J25) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Noncommutative probability and statistics (46L53)
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