 Orthogonal intertwiners for infinite particle systems in the continuumStefan Wagner Stochastic Processes and their Applications, 2024, vol. 168, issue C Abstract: This article focuses on a system of sticky Brownian motions, also known as Howitt–Warren martingale problem, and correlated Brownian motions and shows that infinite-dimensional orthogonal polynomials intertwine the dynamics of infinitely many particles and their n-particle evolution. The proof is based on two assumptions about the model: information about the reversible measures for the n-particle dynamics and consistency. Additionally, explicit formulas for the polynomials are used, including a new explicit formula for infinite-dimensional Meixner polynomials, the orthogonal polynomials with respect to the Pascal process. As an application of the intertwining relations, new reversible measures for the infinite-particle dynamics are obtained. Keywords: Correlated Brownian motions; Sticky Brownian motions; Intertwining relations; Orthogonal polynomials; Duality; Consistency (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:168:y:2024:i:c:s0304414923002417 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2023.104269 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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