L\'evy processes, martingales, reversed martingales and orthogonal polynomials

arXiv1212.3121MaRDI QIDQ6237992FDOQ6237992

Paweł Jerzy Szabłowski

Publication date: 13 December 2012

Abstract: We study class of L'{e}vy processes having distributions being indentifiable by moments. We define system of polynomial martingales ewline $left{M_n(X_t,t),mathcal{F}_{leqt}ight}_{ngeq1},$ where $\mathrm{\%}mathcal{F}_{leqt}$ is a suitable filtration defined below. We present several properties of these martingales. Among others we show that $\mathrm{\%}{M}_1(X_t,t)/t$ is a reversed martingale as well as a harness. Main results of the paper concern the question if martingale say $M_i$ multiplied by suitable determinstic function $m{u}_i(t)$ is a reversed martingale. We show that for $ngeq3$ $M_n(X_t,t)$ is a reversed martingale (or orthogonal polynomial) only when the L'{e}vy process in question is Gaussian (i.e. is a Wiener process). We study also a more general question if there are chances for a linear combination (with coefficients depending on $t)$ of martingales $M_i,$ $iallowbreak=allowbreak1,ldots,n$ to be reversed martingales. We analyze case $\mathrm{\%}nallowbreak=allowbreak2$ in detail listing all possible cases.

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