相关论文: The bi-Poisson process: a quadratic harness

We present here a probabilistic approach to the generation of new polynomials in two discrete variables. This extends our earlier work on the 'classical' orthogonal polynomials in a previously unexplored direction, resulting in the…

In this paper we present methods for the synthesis of polynomial invariants for probabilistic transition systems. Our approach is based on martingale theory. We construct invariants in the form of polynomials over program variables, which…

We describe bivariate polynomial sequences orthogonal to a symmetric weight function in terms of several bivariate polynomial sequences orthogonal with respect to Christoffel transformations of the initial weight under a quadratic…

This work is a continuation of [Kalikaeva, MPRF, 23(2):225-240]. The object of study is ``Markov-up processes'' on $\mathbb Z_+$ and the moment of downcrossing a certain barrier. The processes considered in this paper differ from Markov…

We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…

The double-direction orthogonalization algorithm is applied to construct sequences of polynomials, which are orthogonal over the interval [0,1]with the weighting function 1. Functional and recurrent relations are derived for the sequences…

We consider Koornwinder's method for constructing orthogonal polynomials in two variables from orthogonal polynomials in one variable. If semiclassical orthogonal polynomials in one variable are used, then Koornwinder's construction…

In this paper we derive intertwining relations for a broad class of conservative particle systems both in discrete and continuous setting. Using the language of point process theory, we are able to derive a natural framework in which…

We analyze certain stationary fields with linear regressions and quadratic conditional variances. This classic probabilistic problem leads somewhat unexpectedly to stationary Markov processes closely tied to non-commutative probability…

We construct one and two parameter deformations of the two dimensional Chebyshev polynomials with simple recurrence coefficients, following the algorithm in [3]. Using inverse scattering techniques, we compute the corresponding…

We introduce polynomial processes taking values in an arbitrary Banach space $B$ via their infinitesimal generator $L$ and the associated martingale problem. We obtain two representations of the (conditional) moments in terms of solutions…

The theory of ``Markov-up'' processes is being developed. This is a new class of stochastic processes with ``partial'' markovian features; it could also be called ``one-sided Markov''. Such a behavior may be found in the real world and in…

Given a bivariate weight function defined on the positive quadrant of $\mathbb{R}^2$, we study polynomials in two variables orthogonal with respect to varying measures obtained by special modifications of this weight function. In…

We study a class of stationary Markov processes with marginal distributions identifiable by moments such that every conditional moment of degree say $m$ is a polynomial of degree at most $m\;\text{.}\;$ We show that then under some…

We first show how one can obtain Al-Salam--Chihara polynomials, continuous dual $q$-Hahn polynomials, and Askey--Wilson polynomials from the little $q$-Laguerre and the little $q$-Jacobi polynomials by using special transformations. This…

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…

Differential properties for orthogonal polynomials in several variables are studied. We consider multivariate orthogonal polynomials whose gradients satisfy some quasi--orthogonality conditions. We obtain several characterizations for these…

We consider bivariate polynomials orthogonal on the bicircle with respect to a positive linear functional. The lexicographical and reverse lexicographical orderings are used to order the monomials. Recurrence formulas are derived between…

About two dozens of exactly solvable Markov chains on one-dimensional finite and semi-infinite integer lattices are constructed in terms of convolutions of orthogonality measures of the Krawtchouk, Hahn, Meixner, Charlier, $q$-Hahn,…

We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…