Conditional moments of q-Meixner processes

Wlodzimierz Bryc; Jacek Wesolowski

doi:10.1007/s00440-004-0379-2

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Conditional moments of q-Meixner processes

Wlodzimierz Bryc·Jacek Wesolowski

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Abstract

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 Meixner polynomials. Special cases of these processes are known to arise from the non-commutative generalizations of the Levy processes.

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BibTeX RIS

Wlodzimierz Bryc, Jacek Wesolowski. 2004-12-13. Conditional moments of q-Meixner processes. https://doi.org/10.1007/s00440-004-0379-2

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