On stationary Markov processes with polynomial conditional moments

DOI10.1080/07362994.2017.1333006zbMath1377.60050arXiv1312.4887OpenAlexW2536056011MaRDI QIDQ4588298

Paweł Jerzy Szabłowski

Publication date: 2 November 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4887

zbMATH Keywords

orthogonal polynomialsMarkov processesstationary processesharnessesquadratic harnessespolynomial martingalesinfinitely divisible marginal distributionsLancaster expansion

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Applications of functional analysis in probability theory and statistics (46N30) Martingales and classical analysis (60G46) Transition functions, generators and resolvents (60J35)

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