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Conditional moments of q-Meixner processes
We show that stochastic processes with linear conditional expectations and
quadratic conditional variances are Markov, and their transition probabilities
are related to a three-parameter family of orthogonal polynomials which
generalize the Meixner polynomials. Special cases of these processes are known
to arise from the non-commutative generalizations of the Levy processes.Comment: LaTeX, 24 pages. Corrections to published version affect formulas in
Theorem 4.
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