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Infinitesimal generators of q-Meixner processes

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  • Bryc, Wlodzimierz
  • Wesołowski, Jacek

Abstract

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.

Suggested Citation

  • Bryc, Wlodzimierz & Wesołowski, Jacek, 2014. "Infinitesimal generators of q-Meixner processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 915-926.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:1:p:915-926
    DOI: 10.1016/j.spa.2013.09.013
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    References listed on IDEAS

    as
    1. Bryc, Wlodek, 2010. "Markov processes with free-Meixner laws," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1393-1403, August.
    2. Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
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    Cited by:

    1. Bryc, Włodek, 2014. "On integration with respect to the q-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 257-266.

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