Free quadratic harness

Wlodzimierz Bryc, Wojciech Matysiak and Jacek Wesolowski

Stochastic Processes and their Applications, 2011, vol. 121, issue 3, 657-671

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 Bryc et al. (2010) [7] using Askey-Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of the parameters.

Keywords: Quadratic; conditional; variances; Harnesses; Orthogonal; martingale; polynomials; Free; Lévy; processes; Hypergeometric; orthogonal; polynomials (search for similar items in EconPapers)
Date: 2011
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