Korman Center, Room 245
Generators Of Quadratic Harnesses Through Polynomial Flows
Wednesday, April 10, 2013
3:00 PM-4:00 PM
Speaker: Jacek Wesolowski, Warsaw University of Technology
Abstract: Quadratic harnesses are stochastic processes with linear conditional expectations and quadratic conditional variances with respect to past-future filtration. Typically they are non-homogeneous Markov processes with transition probabilities orthogonalizing Askey-Wilson polynomials. We will derive a q-commutation equation related to polynomial flows for conditional moments with respect to the past. Such equation, at least potentially, should lead to generator of the process. The case of "free" quadratic harnesses will be presented in detail. This is a joint research with Wlodek Bryc (Univ. of Cincinnati).