Stochastic processes with orthogonal polynomial eigenfunctions
[摘要] Markov processes which are reversible with either Gamma, Normal, Poisson or Negative Binomial stationary distributions in the Meixner class and have orthogonal polynomial eigenfunctions are characterized as being processes subordinated to well-known diffusion processes for the Gamma and Normal, and birth and death processes for the Poisson and Negative Binomial. A characterization of Markov processes with Beta stationary distributions and Jacobi polynomial eigenvalues is also discussed. (C) 2009 Elsevier B.V. All rights reserved.
[发布日期] 2009-12-01 [发布机构]
[效力级别] Proceedings Paper [学科分类]
[关键词] Eigenvalues and eigenfunctions of Stochastic processes;Jacobi diffusion;Laguerre diffusion;Markov processes;Meixner distributions;Orthogonal polynomials;Subordinated processes [时效性]
