Quadratic Harnesses, q-commutations, and orthogonal martingale polynomials
英文摘要：
We introduce the quadratic harness condition and show that integrable quadratic harnesses have orthogonal martingale polynomials with a three step recurrence that satisfies a q-commutation relation. This implies that quadratic harnesses are essentially determined uniquely by five numerical constants. Explicit recurrences for the orthogonal martingale polynomials are derived in several cases of interest.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
