Conditional moments of q-Meixner processes

Details Conditional moments of q-Meixner processes Conditional moments of q-Meixner processes

2004-02-29

arxiv.org/abs/math/0403016v2

Probab. Theory Rel. Fields 131, 415-441 (2005)

Mathematics

Probability

LaTeX, 24 pages. Corrections to published version affect formulas in Theorem 4.2

Scientific paper

10.1007/s00440-004-0379-2

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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