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New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces

Author

Listed:
  • Huertas, E. J.
  • Torrado Robles, Nuria
  • Leisen, Fabrizio

Abstract

In 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

Suggested Citation

  • Huertas, E. J. & Torrado Robles, Nuria & Leisen, Fabrizio, 2013. "New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces," DES - Working Papers. Statistics and Econometrics. WS ws131716, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws131716
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    Keywords

    Orthogonal polynomials;

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