Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation

DOI10.1214/EJP.V17-1883MaRDI QIDQ428635zbMATH OpenOpenAlexFDO

Authors Matteo Casserini, Freddy Delbaen

Publication date 22 June 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.5197

zbMATH Keywords

Hermite polynomialsstochastic integralsBrownian martingalesconformal Brownian motionpredictable projectionsWidder's representation

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Abstract: In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Brownian motion and the corresponding Hermite polynomials. As a consequence of this result, we then investigate the relation between analytic functions and $L^p$-convergent series of Hermite polynomials. Finally, our results are applied to Widder's representation for a class of Brownian martingales, retrieving a characterization for the moments of Widder's measure.

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• scientific article; zbMATH DE number 4203411 (Why is no real title available?)

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