On some applications of a symbolic representation of non centered Lévy processes

DOI10.1080/03610926.2011.642920zbMATH Open1466.60094arXiv1310.4005OpenAlexW3098547971MaRDI QIDQ2864677FDOQ2864677

Authors: E. Di Nardo, I. Oliva 

Publication date: 26 November 2013

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Abstract: By using a symbolic technique known in the literature as the classical umbral calculus, we characterize two classes of polynomials related to L'evy processes: the Kailath-Segall and the time-space harmonic polynomials. We provide the Kailath-Segall formula in terms of cumulants and we recover simple closed-forms for several families of polynomials with respect to not centered L'evy processes, such as the Hermite polynomials with the Brownian motion, the Poisson-Charlier polynomials with the Poisson processes, the actuarial polynomials with the Gamma processes, the first kind Meixner polynomials with the Pascal processes, the Bernoulli, Euler and Krawtchuk polynomials with suitable random walks.

Full work available at URL: https://arxiv.org/abs/1310.4005

Recommendations

• On a representation of time space-harmonic polynomials via symbolic L\'evy processes
• A new family of time-space harmonic polynomials with respect to Lévy processes
• Time-space harmonic polynomials relative to a Lévy process
• Multivariate Bernoulli and Euler polynomials via Lévy processes
• On the orthogonal polynomials associated with a Lévy process

zbMATH Keywords

cumulantumbral calculustime-space harmonic polynomialKailath-Segall polynomialLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Umbral calculus (05A40)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A unifying framework for \(k\)-statistics, polykays and their multivariate generalizations
• On the computation of classical, Boolean and free cumulants
• The Classical Umbral Calculus
• A symbolic handling of Sheffer polynomials
• An umbral setting for cumulants and factorial moments
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
• The Number of Partitions of a Set
• Polynomial processes and their applications to mathematical finance
• Time-space harmonic polynomials relative to a Lévy process
• Orthogonal functionals of independent-increment processes
• Stochastic integrals: A combinatorial approach
• Symmetric polynomials of random variables attracted to an infinitely divisible law

Cited In (4)

• Appell polynomials associated with Lévy processes and applications
• Multivariate Bernoulli and Euler polynomials via Lévy processes
• Miscellanea. Representations of Levy processes without Gaussian components
• A new family of time-space harmonic polynomials with respect to Lévy processes

This page was built for publication: On some applications of a symbolic representation of non centered Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2864677)