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

DOI10.1080/03610926.2011.642920MaRDI QIDQ2864677zbMATH OpenOpenAlexFDO

Authors E. Di Nardo, I. Oliva

Publication date 26 November 2013

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

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

zbMATH Keywords

cumulantumbral calculustime-space harmonic polynomialKailath-Segall polynomialLévy process

Mathematics Subject Classification ID

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

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.

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Cites work

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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

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