Wyniki wyszukiwania

Sortuj według:

Ogranicz wyniki do:

Normal martingales and polynomial families

100%

Hammouch H.

Annales Polonici Mathematici

2004

tom 84

nr 2

93-102

Wiener and compensated Poisson processes, as normal martingales, are associated to classical sequences of polynomials, namely Hermite polynomials for the first one and Charlier polynomials for the second. The problem studied in this paper is to find if there exist other normal martingales which are associated to classical sequences of polynomials. Privault, Solé and Vives [5] solved this problem via the quantum Kabanov formula under some assumptions on the normal martingales considered. We solve the problem without these assumptions and we give a complete study of this subject in Section 2. In Section 3 we introduce the notion of algebraic process and we prove that Azéma martingales are infinitely algebraic.

Ograniczanie wyników

1 Annales Polonici Mathematici

1 Hammouch H.

1 2004

Wyniki wyszukiwania

Normal martingales and polynomial families