Infinitesimal generators of q-Meixner processes

We show that the weak infinitesimal generator of a class of Markov processes acts on bounded continuous functions with bounded continuous second derivative as a singular integral with respect to the orthogonality measure of the explicit family of polynomials.

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Year of publication:	2014
Authors:	Bryc, Wlodzimierz ; Wesołowski, Jacek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 915-926
Publisher:	Elsevier
Subject:	Infinitesimal generators \| Quadratic conditional variances \| Harnesses \| Polynomial processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064907