Title of article :
Free quadratic harness
Author/Authors :
Bryc، نويسنده , , W?odzimierz and Matysiak، نويسنده , , Wojciech and Weso?owski، نويسنده , , Jacek، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
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 Bryc et al. (2010) [7] using Askey–Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of the parameters.
Keywords :
Harnesses , Orthogonal martingale polynomials , Free Lévy processes , Hypergeometric orthogonal polynomials , Quadratic conditional variances
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
