On the orthogonal polynomials associated with a Lévy process

DOI10.1214/07-AOP343MaRDI QIDQ2482287zbMATH OpenOpenAlexFDO

Authors Frederic Utzet, Josép Lluis Solé

Publication date 16 April 2008

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0804.2585

zbMATH Keywords

orthogonal polynomialsTeugels martingalesKailath-Segall formulaLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

Abstract: Let $X=X_t,tge0$ be a c`{a}dl`{a}g L'{e}vy process, centered, with moments of all orders. There are two families of orthogonal polynomials associated with $X$. On one hand, the Kailath--Segall formula gives the relationship between the iterated integrals and the variations of order $n$ of $X$, and defines a family of polynomials $P_1(x_1),P_2(x_1,x_2),\mathrm{...}$ that are orthogonal with respect to the joint law of the variations of $X$. On the other hand, we can construct a sequence of orthogonal polynomials $p_n^{sigma}(x)$ with respect to the measure $sigm{a}^{2}delt{a}_0(dx)+x^{2}u(dx)$, where $sigm{a}^2$ is the variance of the Gaussian part of $X$ and $u$ its L'{e}vy measure. These polynomials are the building blocks of a kind of chaotic representation of the square functionals of the L'{e}vy process proved by Nualart and Schoutens. The main objective of this work is to study the probabilistic properties and the relationship of the two families of polynomials. In particular, the L'{e}vy processes such that the associated polynomials $P_n(x_1,\mathrm{...},x_n)$ depend on a fixed number of variables are characterized. Also, we give a sequence of L'{e}vy processes that converge in the Skorohod topology to $X$, such that all variations and iterated integrals of the sequence converge to the variations and iterated integrals of $X$.

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Cited in

(16)

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• Some Classes of Orthogonal Polynomials Associated with Martingales
• Time-space harmonic polynomials relative to a Lévy process
• Permutation invariant functionals of Lévy processes
• Product and moment formulas for iterated stochastic integrals (associated with Lévy processes)
• A semicircle law and decorrelation phenomena for iterated Kolmogorov loops
• Wiener-Poisson chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
• scientific article; zbMATH DE number 2051032 (Why is no real title available?)
• On a representation of time space-harmonic polynomials via symbolic L\'evy processes
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• ORTHOGONAL DECOMPOSITIONS FOR LÉVY PROCESSES WITH AN APPLICATION TO THE GAMMA, PASCAL, AND MEIXNER PROCESSES
• Multiple integration with respect to Poisson and Lévy processes
• scientific article; zbMATH DE number 1552215 (Why is no real title available?)
• On some applications of a symbolic representation of non centered Lévy processes
• Higher variations for free Lévy processes
• Askey-Wilson polynomials, quadratic harnesses and martingales

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