Quadratic harnesses, q-commutations, and orthogonal martingale polynomials

@inproceedings{Matysiak2005QuadraticHQ,
  title={Quadratic harnesses, q-commutations, and orthogonal martingale polynomials},
  author={Wojciech Matysiak and JACEK WESO},
  year={2005}
}
(i) Harnesses: [Hammersley, 1967] linear regression based models of ”long-range misorientation”. [Williams, 1973] discrete index, [1980] continuous, [Mansuy and Yor, 2005] integral repr. (ii) [Plucińska, 1983]: linear regressions and constant conditional variances⇒Gaussian. Discrete indexes [Bryc and Plucińska, 1985], L2-smooth processes [SzabÃlowski, 1989], Poisson [Bryc, 1987], Gamma [Wesoà lowski, 1989] (iii) [WesoÃlowski, 1993]: conditional variance as a quadratic function of increments… CONTINUE READING