Time--space harmonic polynomials relative to a Lévy process
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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.
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)
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)