1:30, Thursday, February 26, 2004
Faculty of Mathematics and Information Science
Warsaw University of Technology
Pl. Politechniki 1
A class of stochastic processes with linear conditional expectations and quadratic conditional variances will be described. It appears that they are Markov and their transition probabilities are related to a three-parameter family of orthogonal polynomials which generalize the Meixner polynomials. Special cases of these processes are known to arise from non-commutative generalizations of certain Levy processes. Joint work with W. Bryc (Univ. of Cincinnati).