On the continuous dual Hahn process

Włodek Bryc

Stochastic Processes and their Applications, 2022, vol. 143, issue C, 185-206

Abstract: We extend the continuous dual Hahn process (Tt) of Corwin and Knizel from a finite time interval to the entire real line by taking a limit of a closely related Markov process (Tt). We also characterize processes (Tt) by conditional means and variances under bidirectional conditioning, and we prove that continuous dual Hahn polynomials are orthogonal martingale polynomials for both processes.

Keywords: Continuous dual Hahn polynomials; Orthogonal martingale polynomials; Quadratic harness (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2021.10.009

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