Semigroups of distributions with linear Jacobi parameters
Abstract
We show that a convolution semigroup of measures has Jacobi parameters polynomial in the convolution parameter if and only if the measures come from the Meixner class. Moreover, we prove the parallel result, in a more explicit way, for the free convolution and the free Meixner class. We then construct the class of measures satisfying the same property for the two-state free convolution. This class of two-state free convolution semigroups has not been considered explicitly before. We show that it also has Meixner-type properties. Specifically, it contains the analogs of the normal, Poisson, and binomial distributions, has a Laha-Lukacs-type characterization, and is related to the case of quadratic harnesses.
Cite
@article{arxiv.1001.1540,
title = {Semigroups of distributions with linear Jacobi parameters},
author = {Michael Anshelevich and Wojciech Młotkowski},
journal= {arXiv preprint arXiv:1001.1540},
year = {2012}
}
Comments
v3: the article is merged back together with arXiv:1003.4025. A significant revision following suggestions by the referee. 2 pdf figures