An application in stochastics of the Laguerre-type polynomials

[摘要] We explain how an inner product derived from a perturbation of a weight function by the addition of a delta distribution is used in the orthogonalization procedure of a sequence of martingales related to a Levy process. The orthogonalization is done by isometry. The resulting set of pairwise strongly orthogonal martingales involved are used as integrators in the so-called (extended) chaotic representation property. As example, we analyse a Levy process which is a combination of Brownian motion and the Gamma process and encounter the Laguerre-type polynomials introduced by Littlejohn. (C) 2001 Elsevier Science B.V. All rights reserved.

[发布日期] 2001-08-01

[效力级别]  Proceedings Paper

[关键词] orthogonal polynomials;Laguerre-type polynomials;inner products;Levy processes;stochastic processes