An application in stochastics of the Laguerre-type polynomials

DOI10.1016/S0377-0427(00)00680-4zbMath0983.60035MaRDI QIDQ5946629

Wim Schoutens

Publication date: 28 April 2002

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

zbMATH Keywords

Lévy processesorthogonal polynomialsstochastic processesinner productsLaguerre-type polynomials

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Martingales and classical analysis (60G46)

Related Items (1)

Orthogonal polynomial solutions of linear ordinary differential equations

Cites Work

• Distributions sur l'espace de P. Lévy et calcul stochastique. (Distributions on P. Lévy's space and stochastic calculus)
• Reinsurance and ruin
• Stochastic processes and orthogonal polynomials
• Chaotic and predictable representations for Lévy processes.
• The probability of ruin for the inverse Gaussian and related processes
• AN APPLICATION OF A NEW THEOREM ON ORTHOGONAL POLYNOMIALS AND DIFFERENTIAL EQUATIONS
• Lévy processes, polynomials and martingales
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