BibTeX
@TECHREPORT{Weso̷lowski04conditionalmoments,
author = {Jacek Weso̷lowski},
title = {Conditional moments of q-Meixner processes},
institution = {},
year = {2004}
}
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Abstract
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 Lévy processes. 1.
