Infinitesimal generators for a class of polynomial processes

• Autorzy: Włodzimierz Bryc , Jacek Wesołowski
• Języki publikacji: EN

Abstrakty

EN

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.

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Studia Mathematica
• Rocznik: 2015
• Tom: 229
• Numer: 1
• Strony: 73-93

Daty

wydano

2015

Twórcy

autor

Włodzimierz Bryc

• Department of Mathematics, University of Cincinnati, PO Box 210025, Cincinnati, OH 45221--0025, U.S.A.

autor

Jacek Wesołowski

• Faculty of Mathematics and Information Science, Warsaw University of Technology, pl. Politechniki 1, 00-661 Warszawa, Poland

Identyfikatory

DOI

10.4064/sm8330-12-2015