Orthogonality of the Sheffer Polynomials Associated to a Levy Process.

The aim of this paper is to relate some recent results on Levy processes (see Schoutens and Teugels, 1998) to a recent study of the author (1996) on multidimensional natural exponential families. In this way, we consider a natural construction of Sheffer polynomials associated to a d-dimensional Levy process and we prove that this is the only one that leads to an orthogonal Levy-Sheffer system.

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Year of publication:	1999
Authors:	Pommeret, D.
Subject:	MATHEMATICAL ANALYSIS \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	22 pages
Classification:	C60 - Mathematical Methods and Programming. General ; C00 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005486804