Abstract
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.
Citation
Włodek Bryc. Jacek Wesołowski. "Askey–Wilson polynomials, quadratic harnesses and martingales." Ann. Probab. 38 (3) 1221 - 1262, May 2010. https://doi.org/10.1214/09-AOP503
Information
