Markov processes with free-Meixner laws

Wlodek Bryc

Stochastic Processes and their Applications, 2010, vol. 120, issue 8, 1393-1403

Abstract: We study a time-non-homogeneous Markov process which arose from free probability, and which also appeared in the study of stochastic processes with linear regressions and quadratic conditional variances. Our main result is the explicit expression for the generator of the (non-homogeneous) transition operator acting on functions that extend analytically to complex domains. The paper is self-contained and does not use free probability techniques.

Keywords: Martingale; Free; Meixner; laws; Generator; Classical; version; of; free; Lévy; process (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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