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arXiv · 0812.0657

Askey--Wilson polynomials, quadratic harnesses and martingales

Włodek Bryc·Jacek Wesołowski
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Abstract

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.

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Włodek Bryc, Jacek Wesołowski. 2008-12-03. Askey--Wilson polynomials, quadratic harnesses and martingales. https://doi.org/10.1214/09-aop503

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