Canonical form, self-decomposability, and the Esscher transforms of Meixner processes are discussed. Mixed Meixner processes
are defined and characterized as Markov processes or semimartingales. Ornstein-Uhlenbeck and selfsimilar processes of Meixner
type are also described.
Key words Meixner process - independent increments - long-range dependence - self-similarity - semimartingale
Partially supported by the Lithuanian State Science and Studies Foundation.
Institute of Mathematics and Informatics, Akademijos 4; Vilnius University, Naugarduko 24, 2600 Vilnius, Lithuania. Published
in Lietuvos Matematikos Rinkinys, Vol. 39, No. 1, pp. 40–51, January–March, 1999.