Related papers: Free Quadratic Harness
This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and…
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.
Quadratic harnesses are typically non-homogeneous Markov processes with time-dependent state space. Using an appropriately defined affine transformation we show that all bridges of a given quadratic harness can be transformed into other…
We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in our previous papers and can be regarded as a random joint of two…
We analyze and partially solve system of recurrences that can be derived from the properties of martingale orthogonal polynomials that characterize quadratic harnesses (QH). We also specify conditions for the existence of moments of one…
We study the infinitesimal generators of evolutions of linear mappings on the space of polynomials, which correspond to a special class of Markov processes with polynomial regressions called quadratic harnesses. We relate the infinitesimal…
We show how to insert time into the parameters of the Wilson's 6-j laws to construct discrete Markov chains with these laws. By a quadratic transformation we convert them into Markov processes with linear regressions and quadratic…
We introduce the quadratic harness condition and show that integrable quadratic harnesses have orthogonal martingale polynomials with a three step recurrence that satisfies a q-commutation relation. This implies that quadratic harnesses are…
We study general properties for the family of stochastic processes with polynomial regression property, that is that every conditional moment of the process is a polynomial. It turns out that then there exists a family of polynomial…
The free Meixner laws arise as the distributions of orthogonal polynomials with constant-coefficient recursions. We show that these are the laws of the free pairs of random variables which have linear regressions and quadratic conditional…
We consider natural exponential families of Levy processes with randomized parameter. Such processes are Markov, and under suitable assumptions, pairs of such processes with shared randomization can be stitched together into a single…
Quadratic harnesses are time-inhomogeneous Markov polynomial processes with linear conditional expectations and quadratic conditional variances with respect to the past-future filtrations. Typically they are determined by five numerical…
We use generalized beta integrals to construct examples of Markov processes with linear regressions, and quadratic second conditional moments.
We study a time-non-homogeneous Markov process which arose from free probability, and which also appeared in the study of stochastic processes with linear regressions and quadratic conditional variances. Our main result is the explicit…
We consider free multiple stochastic measures in the combinatorial framework of the lattice of all diagonals of an n-dimensional space. In this free case, one can restrict the analysis to only the noncrossing diagonals. We give definitions…
We investigate integrability properties of processes with linear regressions and quadratic conditional variances. We establish the right order of dependence of which moments are finite on the parameter defined below, raising the question of…
We show that the joint probability generating function of the stationary measure of a finite state asymmetric exclusion process with open boundaries can be expressed in terms of joint moments of Markov processes called quadratic harnesses.…
In this paper we investigate the properties of the free Sheffer systems, which are certain families of martingale polynomials with respect to the free Levy processes. First, we classify such families that consist of orthogonal polynomials;…
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…
We study properties of a subclass of Markov processes that have all moments that are continuous functions of the time parameter and more importantly are characterized by the property that say their $n-$th conditional moment given the past…