New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces
AbstractIn this paper we study how an inner product derived from an Uvarov transformation of the Laguerre weight function 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 chaotic representation property
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws131716.
Date of creation: May 2013
Date of revision:
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Orthogonal polynomials; Laguerre-type polynomials; Krall-Laguerre polynomials; Inner products; Lévy processes; Stochastic processes;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
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