Infinitesimal generators for a class of polynomial processes

Włodzimierz Bryc, and Jacek Wesołowski. "Infinitesimal generators for a class of polynomial processes." Studia Mathematica 229.1 (2015): 73-93. <http://eudml.org/doc/285596>.

@article{WłodzimierzBryc2015,
abstract = {We study the infinitesimal generators of evolutions of linear mappings on the space of polynomials, which correspond to a special class of Markov processes with polynomial regressions called quadratic harnesses. We relate the infinitesimal generator to the unique solution of a certain commutation equation, and we use the commutation equation to find an explicit formula for the infinitesimal generator of free quadratic harnesses.},
author = {Włodzimierz Bryc, Jacek Wesołowski},
journal = {Studia Mathematica},
keywords = {Markov processes; infinitesimal generators; quadratic harnesses; quadratic conditional variances; polynomial processes},
language = {eng},
number = {1},
pages = {73-93},
title = {Infinitesimal generators for a class of polynomial processes},
url = {http://eudml.org/doc/285596},
volume = {229},
year = {2015},
}

TY - JOUR
AU - Włodzimierz Bryc
AU - Jacek Wesołowski
TI - Infinitesimal generators for a class of polynomial processes
JO - Studia Mathematica
PY - 2015
VL - 229
IS - 1
SP - 73
EP - 93
AB - We study the infinitesimal generators of evolutions of linear mappings on the space of polynomials, which correspond to a special class of Markov processes with polynomial regressions called quadratic harnesses. We relate the infinitesimal generator to the unique solution of a certain commutation equation, and we use the commutation equation to find an explicit formula for the infinitesimal generator of free quadratic harnesses.
LA - eng
KW - Markov processes; infinitesimal generators; quadratic harnesses; quadratic conditional variances; polynomial processes
UR - http://eudml.org/doc/285596
ER -