Two-dimensional Meixner Random Vectors of Class ${\mathcal{M}}_{L}$

Abstract

The paper is divided into two parts. In the first part we lay down the foundation for defining the joint annihilation–preservation–creation decomposition of a finite family of not necessarily commutative random variables, and show that this decomposition is essentially unique. In the second part we show that any two, not necessarily commutative, random variables X and Y for which the vector space spanned by the identity and their annihilation, preservation, and creation operators equipped with the bracket given by the commutator forms a Lie algebra are equivalent up to an invertible linear transformation to two independent Meixner random variables with mixed preservation operators. In particular, if X and Y commute, then they are equivalent up to an invertible linear transformation to two independent classic Meixner random variables. To show this we start with a small technical condition called “non-degeneracy”.