ASKEY-WILSON POLYNOMIALS, QUADRATIC HARNESSES AND MARTINGALES

• 成果类型: Article
• 署名作者: Bryc, Wlodek; Wesolowski, Jacek
• 署名单位: University System of Ohio; University of Cincinnati; Warsaw University of Technology
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/09-AOP503
• 发表日期: 2010
• 页码: 1221-1262
• 关键词: orthogonal polynomials

摘要

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.