The bi-Poisson process: A quadratic harness
Bryc, Włodzimierz ; Matysiak, Wojciech ; Wesołowski, Jacek
Ann. Probab., Tome 36 (2008) no. 1, p. 623-646 / Harvested from Project Euclid
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This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and martingale polynomials. The construction uses a two-parameter extension of the Al-Salam–Chihara polynomials and a relation between these polynomials for different values of parameters.
Publié le : 2008-03-15
Classification:  Quadratic conditional variances,  harnesses,  orthogonal martingale polynomials,  hypergeometric orthogonal polynomials,  60J25 
@article{1204306962,
     author = {Bryc, W\l odzimierz and Matysiak, Wojciech and Weso\l owski, Jacek},
     title = {The bi-Poisson process: A quadratic harness},
     journal = {Ann. Probab.},
     volume = {36},
     number = {1},
     year = {2008},
     pages = { 623-646},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1204306962}
}

Bryc, Włodzimierz; Matysiak, Wojciech; Wesołowski, Jacek. The bi-Poisson process: A quadratic harness. Ann. Probab., Tome 36 (2008) no. 1, pp.  623-646. http://gdmltest.u-ga.fr/item/1204306962/