Conditional moments of q-Meixner processes

• 成果类型: Article
• 署名作者: Bryc, W; Wesolowski, J
• 署名单位: University System of Ohio; University of Cincinnati; Warsaw University of Technology
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-004-0379-2
• 发表日期: 2005
• 页码: 415-441
• 关键词: random-fields

摘要

We show that stochastic processes with linear conditional expectations and quadratic conditional variances are Markov, and their transition probabilities are related to a three-parameter family of orthogonal polynomials which generalize the Meixner polynomials. Special cases of these processes are known to arise from the non-commutative generalizations of the Levy processes.