On the orthogonal polynomials associated with a Lévy process

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}, ..., 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

.

Review text

Let \(X_t , t\geq 0\) be a semimartingale with \(X_0=0\). Consider the variation of \(X\), \[ X^{(1)}_t = X_t , \;X^{(2)}_t = [X,X]_t , \;X^{(n)}_t = \sum_{0<s\leq t} (\Delta X_s)^n , \;n\geq 3 \] and the iterated integrals of \(X\) \[ P^{(0)}_t =1, \;P^{(1)}_t = X_t, \;P^{(n)}_t =\int_0^t P^{(n-1)}_{s-} dX_s. \] The authors deduce that \(P^{(n)}_t\) is a polynomial in \(X^{(1)}_t ,\dots, X^{(n)}_t\) and denote it by \(P_n(x_1,\dots,x_n)\). In this paper the authors study the probabilistic properties of, and relationship between \(P_n(x_1,\dots,x_n)\) and the Teugels polynomial \(p^{\sigma}_n(x), \;n\geq 1\). Their three main results are interesting in themselves. First they prove that for a general semimartingale \(X\) the Doleans exponential \({\mathcal E}(uX_t)\) is analytic in a certain neighborhood of the origin and that the iterated integrals are the Taylor coefficients. The second result is related to the Kailath-Segall polynomials that are expressible as polynomials of a fixed set of variables. It is known that the Brownian motion and the compensated Poisson process are the unique Lévy processes such that the Kailath-Segall polynomials can be written as polynomials in \(x\) and \(t\). So, a natural question is how to characterize the Lévy processes with a similar property for a finite number of variables. The key of their proof is that only the application of linear functions to a Lévy process gives rise to another Lévy process. The third result is that it is possible to give a sequence of simple Lévy processes \(\{X_k\}\) that converges in the Skorohod topology to \(X\) so that, under the appropriate hypothesis, all variations and iterated integrals of \(X_k\) converge to the variations and iterated integrals of \(X\) .

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