On the orthogonal polynomials associated with a Lévy process

DOI10.1214/07-AOP343zbMath1149.60028arXiv0804.2585OpenAlexW2006284694MaRDI QIDQ2482287

Frederic Utzet, Josep Lluís Solé

Publication date: 16 April 2008

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.2585

zbMATH Keywords

Lévy processesorthogonal polynomialsTeugels martingalesKailath-Segall formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

Related Items (6)

Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ Infinitesimal generators for a class of polynomial processes ⋮ Product and moment formulas for iterated stochastic integrals (associated with Lévy processes) ⋮ Permutation invariant functionals of Lévy processes ⋮ Askey-Wilson polynomials, quadratic harnesses and martingales ⋮ Time-space harmonic polynomials relative to a Lévy process

Cites Work

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• Chaotic Kabanov formula for the Azéma martingales
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• Orthogonal functionals of independent-increment processes
• Appell polynomials and their relatives
• Some Classes of Orthogonal Polynomials Associated with Martingales
• A Note on Entire Solutions of the Eiconal Equation
• Finitely polynomially determined Lévy processes

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