Conditional moments of q-Meixner processes
Probability
2007-05-23 v2 Operator Algebras
Quantum Algebra
Abstract
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.
Cite
@article{arxiv.math/0403016,
title = {Conditional moments of q-Meixner processes},
author = {Wlodzimierz Bryc and Jacek Wesolowski},
journal= {arXiv preprint arXiv:math/0403016},
year = {2007}
}
Comments
LaTeX, 24 pages. Corrections to published version affect formulas in Theorem 4.2