Time--space harmonic polynomials relative to a Lévy process

Details Time--space harmonic polynomials relative to a Lévy process Time--space harmonic polynomials relative to a Lévy process

2008-03-06

arxiv.org/abs/0803.0829v1

Bernoulli 2008, Vol. 14, No. 1, 1-13

Mathematics

Probability

Published in at http://dx.doi.org/10.3150/07-BEJ6173 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statist

Scientific paper

10.3150/07-BEJ6173

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.

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