On the continuous dual Hahn process
Probability
2021-12-02 v3
Abstract
In this note we extend the continuous dual Hahn process constructed by Corwin and Knizel on a finite time interval to the entire real line by taking a limit of a closely related Markov process. We also characterize this Markov processes by conditional means and variances under bidirectional conditioning.
Cite
@article{arxiv.2105.06969,
title = {On the continuous dual Hahn process},
author = {Wlodek Bryc},
journal= {arXiv preprint arXiv:2105.06969},
year = {2021}
}