1--Meixner random vectors

Abstract

A definition of $d$--dimensional $n$--Meixner random vectors is given first. This definition involves the commutators of their semi--quantum operators. After that we will focus on the $1$-Meixner random vectors, and derive a system of $d$ partial differential equations satisfied by their Laplace transform. We provide a set of necessary conditions for this system to be integrable. We use these conditions to give a complete characterization of all non--degenerate three--dimensional $1$--Meixner random vectors. It must be mentioned that the three--dimensional case produces the first example in which the components of a $1$--Meixner random vector cannot be reduced, via an injective linear transformation, to three independent classic Meixner random variables.