Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation

DOI10.1214/EJP.V17-1883zbMath1258.60035arXiv1107.5197OpenAlexW2128555741MaRDI QIDQ428635

Freddy Delbaen, Matteo Casserini

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.5197

zbMATH Keywords

Hermite polynomialsstochastic integralsBrownian martingalesconformal Brownian motionpredictable projectionsWidder's representation

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

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