New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces

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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Year of publication:	2013-05
Authors:	Huertas, E. J. ; Torrado, Nuria ; Leisen, Fabrizio
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid
Subject:	Orthogonal polynomials \| Laguerre-type polynomials \| Krall-Laguerre polynomials \| Inner products \| Lévy processes \| Stochastic processes

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Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010861867