On the continuous dual Hahn process
arXiv:2105.06969 · doi:10.1016/j.spa.2021.10.009
Abstract
In this note we extend the continuous dual Hahn process constructed by Corwin and Knizel on a finite time interval to the entire real line by taking a limit of a closely related Markov process. We also characterize this Markov processes by conditional means and variances under bidirectional conditioning.