Time--space harmonic polynomials relative to a L\'{e}vy process
Probability
2008-12-18 v1 Statistics Theory
Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.0803.0829,
title = {Time--space harmonic polynomials relative to a L\'{e}vy process},
author = {Josep Lluís Solé and Frederic Utzet},
journal= {arXiv preprint arXiv:0803.0829},
year = {2008}
}
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)