Time-space harmonic polynomials relative to a Lévy process

DOI10.3150/07-BEJ6173zbMath1157.60318arXiv0803.0829OpenAlexW3098847942MaRDI QIDQ1002572

Frederic Utzet, Josep Lluís Solé

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.0829

zbMATH Keywords

cumulantsLévy processesTeugels martingalestime-space harmonic polynomials

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic analysis (60H99)

Related Items (7)

Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model ⋮ On the Wick theorem for mixtures of centered Gaussian distributions ⋮ Infinitesimal generators for a class of polynomial processes ⋮ A new family of time-space harmonic polynomials with respect to Lévy processes ⋮ Probabilistic approach to Appell polynomials ⋮ Askey-Wilson polynomials, quadratic harnesses and martingales ⋮ On Some Applications of a Symbolic Representation of Non Centered Lévy Processes

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• Some Classes of Orthogonal Polynomials Associated with Martingales
• Time-space harmonic polynomials for continuous-time processes and an extension

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