Conditional moments of q-Meixner processes
arXiv:math/0403016 · doi:10.1007/s00440-004-0379-2
Abstract
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.
LaTeX, 24 pages. Corrections to published version affect formulas in Theorem 4.2