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arXiv:0803.0829 [math.PR]AbstractReferencesReviewsResources

Time--space harmonic polynomials relative to a Lévy process

Josep Lluís Solé, Frederic Utzet

Published 2008-03-06Version 1

In this work, we give a closed form and a recurrence relation for a family of time--space harmonic polynomials relative to a L\'{e}vy process. We also state the relationship with the Kailath--Segall (orthogonal) polynomials associated to the process.

Comments: Published in at http://dx.doi.org/10.3150/07-BEJ6173 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Journal: Bernoulli 2008, Vol. 14, No. 1, 1-13
Categories: math.PR, math.ST, stat.TH
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