IMA Complex Systems Seminar

1:30, Thursday, February 26, 2004       



Conditional moments of q-Meixner processes




Jacek Wesolowski

Faculty of Mathematics and Information Science
Warsaw University of Technology
Pl. Politechniki 1
00-661 Warsaw 


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).