Infinitesimal generators of q-Meixner processes

Wlodzimierz Bryc and Jacek Wesołowski

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 915-926

Abstract: We show that the weak infinitesimal generator of a class of Markov processes acts on bounded continuous functions with bounded continuous second derivative as a singular integral with respect to the orthogonality measure of the explicit family of polynomials.

Keywords: Infinitesimal generators; Quadratic conditional variances; Harnesses; Polynomial processes (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:1:p:915-926

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DOI: 10.1016/j.spa.2013.09.013

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