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Infinitesimal generators for a family of polynomial processes : an algebraic approach

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Wesołowski J. , Zięba A.

Probability and Mathematical Statistics

2024

tom Vol. 44, Fasc. 1

51--85

Quadratic harnesses are time-inhomogeneous Markov polynomial processes with linear conditional expectations and quadratic conditional variances with respect to the past-future filtrations. Typically they are determined by five numerical constants η, θ, τ, σ and q hidden in the form of conditional variances. In this paper we derive infinitesimal generators of such processes in the case σ=0 extending previously known results. The infinitesimal generators are identified through a solution of a q-commutation equation in the algebra Q of infinite sequences of polynomials in one variable. The solution is a special element in Q whose coordinates satisfy a three-term recurrence and thus define a system of orthogonal polynomials. It turns out that the corresponding orthogonality measure υx,t. uniquely determines the infinitesimal generator (acting on polynomials or bounded functions with bounded continuous second derivative) as an integro-differential operator with an explicit kernel, where integration is with respect to the measure υx,t.