Time-space harmonic polynomials relative to a Lévy process

Abstract: In this work, we give a closed form and a recurrence relation for a family of time--space harmonic polynomials relative to a L'{e}vy process. We also state the relationship with the Kailath--Segall (orthogonal) polynomials associated to the process.

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Cited in

(11)

Real harmonizable multifractional Lévy motions
Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Lévy processes through time shift on oscillator Weyl algebra
On some applications of a symbolic representation of non centered Lévy processes
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scientific article; zbMATH DE number 2051032 (Why is no real title available?)
Probabilistic approach to Appell polynomials
On a representation of time space-harmonic polynomials via symbolic L\'evy processes
On the Wick theorem for mixtures of centered Gaussian distributions
Askey-Wilson polynomials, quadratic harnesses and martingales

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