Infinitesimal generators of q-Meixner processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Bryc, Wlodzimierz¹  Wesolowski, Jacek² 

[1] Univ Cincinnati, Dept Math, Cincinnati, OH 45221 USA

[2] Warsaw Univ Technol, Fac Math & Informat Sci, PL-00661 Warsaw, Poland

关键词: Infinitesimal generators;    Quadratic conditional variances;    Harnesses;    Polynomial processes;   

DOI  :  10.1016/j.spa.2013.09.013

来源: Elsevier

【 摘 要 】

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. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free