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

DOI10.1214/EJP.V17-1883zbMATH Open1258.60035arXiv1107.5197OpenAlexW2128555741MaRDI QIDQ428635FDOQ428635

Authors: Matteo Casserini, Freddy Delbaen 

Publication date: 22 June 2012

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

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.

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

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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)

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