Askey--Wilson polynomials, quadratic harnesses and martingales
classification
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math.CA
keywords
polynomialsaskey--wilsonprocessesquadraticconditionalconstructharnesseslinear
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We use orthogonality measures of Askey--Wilson polynomials to construct Markov processes with linear regressions and quadratic conditional variances. Askey--Wilson polynomials are orthogonal martingale polynomials for these processes.
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