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arXiv · 2105.06969

On the continuous dual Hahn process

Wlodek Bryc
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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.

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Wlodek Bryc. 2021-05-14. On the continuous dual Hahn process. https://doi.org/10.1016/j.spa.2021.10.009

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