Time-space harmonic polynomials for continuous-time processes and an extension (Q5937283)

A time-space harmonic polynomial for a stochastic process \(M= \{M_t\}\) is a polynomial \(P\) in two variables such that \(P(t,M_t)\) is a martingale. The author investigates conditions for the existence of such polynomials of each degree in the second ``space'' argument. Also, the author describes various properties that a sequence of time-space harmonic polynomials may possess and the interactions of these properties with distributional properties of the underlined process. Thus, continuous-time counterparts to the previous results of Goswami and the author, where the analoguous problem in discrete time was considered, are derived. Finally, a generalization to a ``measure'' proposed by Hochberg on the path space is obtained.