Related papers: Some martingales associated with multivariate Bess…

We consider the class $\mathcal{E}_t(Y)$ of Appell polynomials whose generating function is given by means of a real power $t$ of the moment generating function of a certain random variable $Y$. For such polynomials, we obtain explicit…

We construct a family of self-similar Markov martingales with given marginal distributions. This construction uses the self-similarity and Markov property of a reference process to produce a family of Markov processes that possess the same…

This paper introduces a matrix analog of the Bessel processes, taking values in the closed set $E$ of real square matrices with nonnegative determinant. They are related to the well-known Wishart processes in a simple way: the latter are…

We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…

We provide conditions and algorithmic tools so as to classify and construct the smallest possible determinantal formulae for multihomogeneous resultants arising from Weyman complexes associated to line bundles in products of projective…

The theory of polynomials orthogonal with respect to one inner product is classical. We discuss the extension of this theory to multiple inner products. Examples include the Lam\'e and Heine-Stieltjes polynomials.

The generalization, similarly to exponential multivariate bases in the Fourier transform, of the Bessel functions to many dimensions is offered. Analogously to the Fourier transform property under the differentiation, the similar Hankel…

We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…

We consider the logarithm of the characteristic polynomial of random permutation matrices, evaluated on a finite set of different points. The permutations are chosen with respect to the Ewens distribution on the symmetric group. We show…

We construct $P(phi)_1$-processes indexed by the full time-line, separately derived from the functional integral representations of the relativistic and non-relativistic Nelson models in quantum field theory. These two cases differ…

A multivariable generalisation of the Bessel polynomials is introduced and studied. In particular, we deduce their series expansion in Jack polynomials, a limit transition from multivariable Jacobi polynomials, a sequence of algebraically…

Let Y be a random variable whose moment generating function exists in some neighborhood of the origin. We consider the probabilistic bivariate Bell polynomials associated with Y and the probabilistic bivariate r-Bell polynomials associated…

This survey paper discusses the history of approximation formulas for n-th order derivatives by integrals involving orthogonal polynomials. There is a large but rather disconnected corpus of literature on such formulas. We give some results…

The Bessel point process is a rigid point process on the positive real line and its conditional measure on a bounded interval $[0,R]$ is almost surely an orthogonal polynomial ensemble. In this article, we show that if $R$ tends to…

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 numerical evaluation of an individual Bessel or Hankel function of large order and large argument is a notoriously problematic issue in physics. Recurrence relations are inefficient when an individual function of high order and argument…

While there is an increasing amount of literature about Bayesian time series analysis, only a few Bayesian nonparametric approaches to multivariate time series exist. Most methods rely on Whittle's Likelihood, involving the second order…

We give a probabilistic introduction to determinantal and permanental point processes. Determinantal processes arise in physics (fermions, eigenvalues of random matrices) and in combinatorics (nonintersecting paths, random spanning trees).…

A class of spherical functions is studied which can be viewed as the matrix generalization of Bessel functions. We derive a recursive structure for these functions. We show that they are only special cases of more general radial functions…

Airy and Pearcey-like kernels and generalizations arising in random matrix theory are expressed as double integrals of ratios of exponentials, possibly multiplied with a rational function. In this work it is shown that such kernels are…