Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals

DOI10.1016/S0377-0427(98)00170-8zbMath0929.60028MaRDI QIDQ1298579

Wim Schoutens

Publication date: 24 January 2000

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Lévy processesorthogonal polynomialsmartingalesstochastic integrationSheffer polynomialsindependent identically distributed random variables

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with discrete parameter (60G42) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Stochastic integrals (60H05) Special sequences and polynomials (11B83)

Related Items (3)

On integration with respect to the \(q\)-Brownian motion ⋮ Asymptotic analysis of the Askey-scheme. I: From Krawtchouk to Charlier ⋮ On \(d\)-orthogonality of the Sheffer systems associated to a convolution semigroup

Cites Work

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• A stochastic characterization of Hermite polynomials
• Concerning Appell sets and associated linear functional equations
• Some properties of polynomial sets of type zero
• Lévy processes, polynomials and martingales
• Orthogonale Polynomsysteme Mit Einer Besonderen Gestalt Der Erzeugenden Funktion

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