Conditional moments of q-Meixner processes (2004)
by
Jacek Weso̷lowski
| Citations: | 8 - 5 self |
BibTeX
@TECHREPORT{Weso̷lowski04conditionalmoments,
author = {Jacek Weso̷lowski},
title = {Conditional moments of q-Meixner processes},
institution = {},
year = {2004}
}
OpenURL
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.







