Time–space harmonic polynomials relative to a Lévy process
Solé, Josep Lluís ; Utzet, Frederic
Bernoulli, Tome 14 (2008) no. 1, p. 1-13 / Harvested from Project Euclid
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In this work, we give a closed form and a recurrence relation for a family of time–space harmonic polynomials relative to a Lévy process. We also state the relationship with the Kailath–Segall (orthogonal) polynomials associated to the process.
Publié le : 2008-02-15
Classification:  cumulants,  Lévy processes,  Teugels martingales,  time–space harmonic polynomials 
@article{1202492782,
     author = {Sol\'e, Josep Llu\'\i s and Utzet, Frederic},
     title = {Time--space harmonic polynomials relative to a L\'evy process},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 1-13},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1202492782}
}

Solé, Josep Lluís; Utzet, Frederic. Time–space harmonic polynomials relative to a Lévy process. Bernoulli, Tome 14 (2008) no. 1, pp.  1-13. http://gdmltest.u-ga.fr/item/1202492782/