Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process (Q2571234): Difference between revisions

Let \(X=(X_t)\) be a Markov process and let \(L_e\) be the associated infinitesimal generator. The authors consider the martingale-additive functionals \(M=(M_t)\) defined by \(X\), i.e. \(M_t(f):=f(X_t)-f(X_0)-\int_0^t L_e(f)(X_s) \, ds.\) By iteration of \(L_e\), they obtain first a family of space-time martingales. Then they investigate the case when \(X\) is a subordinator. Under the stability of \(L_e\) with respect to polynomials, they obtain in this case combinatoric and probabilistic results on space-time harmonic polynomials and generalized Stirling numbers. They consider also the case of pair of subordinators in duality. Moreover, many explicit examples are given throughout the paper.