Mathematics – Probability
Scientific paper
2002-04-08
Mathematics
Probability
Scientific paper
It is well known that between all processes with independent increments, essentially only the Brownian motion and the Poisson process possess the chaotic representation property (CRP). Thus, a natural question appears: What is an appropriate analog of the CRP in the case of a general L\'evy process. At least three approaches are possible here. The first one, due to It\^o, uses the CRP of the Brownian motion and the Poisson process, as well as the representation of a L\'evy process through those processes. The second approach, due to Nualart and Schoutens, consists in representing any square-integrable random variable as a sum of multiple stochastic integrals constructed with respect to a family of orthogonalized centered power jumps processes. The third approach, never applied before to the L\'evy processes, uses the idea of orthogonalization of polynomials with respect to a probability measure defined on the dual of a nuclear space. The main aims of the present paper are to develop the three approaches in the case of a general ($\R$-valued) L\'evy process on a Riemannian manifold and (what is more important) to understand a relationship between these approaches. We apply the obtained results to the gamma, Pascal, and Meixner processes, in which case the analysis related to the orthogonalized polynomials becomes essentially simpler and richer than in the general case.
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