Conditional distribution conjecture for the Askey–Wilson Markov process

Let I(A,B,C,D)I(A,B,C,D) be the parameter interval from Proposition, let (Yt)tI(Y_t)_{t\in I} be the Markov process constructed there, and let Fs,u\mathcal{F}_{s,u} denote the sigma-algebra generated by the process outside the interval (s,u)(s,u). For s<t<us<t<u in I(A,B,C,D)I(A,B,C,D), set

x=Ys+Ys21,z=Yu+Yu21.x=Y_s+\sqrt{Y_s^2-1},\qquad z=Y_u+\sqrt{Y_u^2-1}.

Conditional distribution conjecture. The conditional distribution of YtY_t given Fs,u\mathcal{F}_{s,u} is

ν(y;ztu,tzu,xst,sxt).\nu\left(y; \frac{z\sqrt{t}}{\sqrt{u}},\frac{\sqrt{t}}{z\sqrt{u}},\frac{x\sqrt{s}}{\sqrt{t}},\frac{\sqrt{s}}{x\sqrt{t}}\right).

This conjectural formula identifies the bridge law of the Markov process with an Askey–Wilson distribution and would give an explicit description of its conditional distributions. The notation ν\nu and the process are supplied by the surrounding construction; the candidate is marked unresolved in the provided source information.

Sources & referencesView supporting material

Primary source

Włodek Bryc and Jacek Wesołowski, “Askey–Wilson polynomials, quadratic harnesses and martingales”, arXiv:0812.0657 (2011).

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