Meixner class of orthogonal polynomials of a non-commutative monotone Lévy noise

Abstract: Let

(X_{t})_{t g e 0}

denote a non-commutative monotone L'evy process. Let

o m e g a = (o m e g a (t))_{t g e 0}

denote the corresponding monotone L'evy noise.. A continuous polynomial of

o m e g a

is an element of the corresponding non-commutative

L^{2}

-space

L^{2} (a u)

that has the form

s u m_{i = 0}^{n} l a n g l e o m e g a^{o t i m e s i}, f^{(i)} a n g l e

, where

f^{(i)} i n C_{0} (m a t h b b R_{+}^{i})

. We denote by

m a t h b f C P

the space of all continuous polynomials of

o m e g a

. For

f^{(n)} i n C_{0} (m a t h b b R_{+}^{n})

, the orthogonal polynomial

l a n g l e P^{(n)} (o m e g a), f^{(n)} a n g l e

is defined as the orthogonal projection of the monomial

l a n g l e o m e g a^{o t i m e s n}, f^{(n)} a n g l e

onto the subspace of

L^{2} (a u)

that is orthogonal to all continuous polynomials of

o m e g a

of order

l e n - 1

. We denote by

m a t h b f O C P

the linear span of the orthogonal polynomials. Each orthogonal polynomial

l a n g l e P^{(n)} (o m e g a), f^{(n)} a n g l e

depends only on the restriction of the function

f^{(n)}

to the set

(t_{1}, d o t s, t_{n}) i n m a t h b b R_{+}^{n} m i d t_{1} g e t_{2} g e d o t s g e t_{n}

. The orthogonal polynomials allow us to construct a unitary operator

J : L^{2} (a u) o m a t h b b F

, where

m a t h b b F

is an extended monotone Fock space. Thus, we may think of the monotone noise

o m e g a

as a distribution of linear operators acting in

m a t h b b F

. We say that the orthogonal polynomials belong to the Meixner class if

m a t h b f C P = m a t h b f O C P

. We prove that each system of orthogonal polynomials from the Meixner class is characterized by two parameters:

l a m b d a i n m a t h b b R

and

e t a g e 0

. In this case, the monotone L'evy noise has the representation

o m e g a (t) = p a r t i a l_{t}^{d} a g + l a m b d a p a r t i a l_{t}^{d} a g p a r t i a l_{t} + p a r t i a l_{t} + e t a p a r t i a l_{t}^{d} a g p a r t i a l_{t} p a r t i a l_{t}

. Here,

p a r t i a l_{t}^{d} a g

and

p a r t i a l_{t}

are the (formal) creation and annihilation operators at

t i n m a t h b b R_{+}

acting in

m a t h b b F

.

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