Askey--Wilson polynomials, quadratic harnesses and martingales
Probability
2014-07-29 v3 Classical Analysis and ODEs
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.
Keywords
Cite
@article{arxiv.0812.0657,
title = {Askey--Wilson polynomials, quadratic harnesses and martingales},
author = {Włodek Bryc and Jacek Wesołowski},
journal= {arXiv preprint arXiv:0812.0657},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AOP503 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)