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New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces

Listed author(s):
  • Torrado Robles, Nuria
  • Huertas, E. J.
  • Leisen, Fabrizio
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    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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    Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws131716.

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