Askey--Wilson polynomials, quadratic harnesses and martingales

Details Askey--Wilson polynomials, quadratic harnesses and martingales Askey--Wilson polynomials, quadratic harnesses and martingales

2008-12-03

arxiv.org/abs/0812.0657v3

Annals of Probability 2010, Vol. 38, No. 3, 1221-1262

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/09-AOP503 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of

Scientific paper

10.1214/09-AOP503

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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