Free Quadratic Harness

Details Free Quadratic Harness Free Quadratic Harness

2010-03-24

arxiv.org/abs/1003.4771v2

Stochastic Processes and their Applications 121 (2011) 657--671

Mathematics

Probability

Scientific paper

Free quadratic harness is a Markov process from the class of quadratic harnesses, i.e. processes with linear regressions and quadratic conditional variances. The process has recently been constructed for a restricted range of parameters in the paper "Askey-Wilson polynomials, quadratic harnesses and martingales" by W. Bryc and J. Weso{\l}owski using Askey--Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of parameters.

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