Free Quadratic Harness
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 the paper "Askey-Wilson polynomials, quadratic harnesses and martingales" by W. Bryc and J. Wesołowski using Askey--Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of parameters.
- Publication:
-
arXiv e-prints
- Pub Date:
- March 2010
- DOI:
- 10.48550/arXiv.1003.4771
- arXiv:
- arXiv:1003.4771
- Bibcode:
- 2010arXiv1003.4771B
- Keywords:
-
- Mathematics - Probability
- E-Print:
- Stochastic Processes and their Applications 121 (2011) 657--671