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New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces

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  • E. J. Huertas

    ()

  • Nuria Torrado

    ()

  • Fabrizio Leisen

    ()

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    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

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    File URL: http://e-archivo.uc3m.es/bitstream/10016/17015/1/ws131716.pdf
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    Bibliographic Info

    Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws131716.

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    Date of creation: May 2013
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    Handle: RePEc:cte:wsrepe:ws131716

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    Related research

    Keywords: Orthogonal polynomials; Laguerre-type polynomials; Krall-Laguerre polynomials; Inner products; Lévy processes; Stochastic processes;

    This paper has been announced in the following NEP Reports:

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