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On the continuous dual Hahn process

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  • Bryc, Włodek

Abstract

We extend the continuous dual Hahn process (Tt) of Corwin and Knizel from a finite time interval to the entire real line by taking a limit of a closely related Markov process (Tt). We also characterize processes (Tt) by conditional means and variances under bidirectional conditioning, and we prove that continuous dual Hahn polynomials are orthogonal martingale polynomials for both processes.

Suggested Citation

  • Bryc, Włodek, 2022. "On the continuous dual Hahn process," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 185-206.
    • Handle: RePEc:eee:spapps:v:143:y:2022:i:c:p:185-206
    DOI: 10.1016/j.spa.2021.10.009
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