New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces

E. J. Huertas, Nuria Torrado Robles and Fabrizio Leisen

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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

Keywords: Orthogonal; polynomials; Laguerre-type; polynomials; Krall-Laguerre; polynomials; Inner; products; Lévy; processes; Stochastic; processes (search for similar items in EconPapers)
Date: 2013-05
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws131716

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