Oliva, Immacolata
(2012)
A moment symbolic representation of Lévy processes with applications, [Dissertation thesis], Alma Mater Studiorum Università di Bologna.
Dottorato di ricerca in
Matematica, 24 Ciclo. DOI 10.6092/unibo/amsdottorato/4549.
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Abstract
By using a symbolic method, known in the literature as the classical umbral calculus, a symbolic representation of Lévy processes is given and a new family of time-space harmonic polynomials with respect to such processes, which includes and generalizes the exponential complete Bell polynomials, is introduced.
The usefulness of time-space harmonic polynomials with respect to Lévy processes is that it is a martingale the stochastic process obtained by replacing the indeterminate x of the polynomials with a Lévy process, whereas the Lévy process does not necessarily have this property. Therefore to find such polynomials could be particularly meaningful for applications.
This new family includes Hermite polynomials, time-space harmonic with respect to Brownian motion, Poisson-Charlier polynomials with respect to Poisson processes, Laguerre and actuarial polynomials with respect to Gamma processes , Meixner polynomials of the first kind with respect to Pascal processes, Euler, Bernoulli, Krawtchuk, and pseudo-Narumi polynomials with respect to suitable random walks.
The role played by cumulants is stressed and brought to the light, either in the symbolic representation of Lévy processes and their infinite divisibility property, either in the generalization, via umbral Kailath-Segall formula, of the well-known formulae giving elementary symmetric polynomials in terms of power sum symmetric polynomials.
The expression of the family of time-space harmonic polynomials here introduced has some connections with the so-called moment representation of various families of multivariate polynomials. Such moment representation has been studied here for the first time in connection with the time-space harmonic property with respect to suitable symbolic multivariate Lévy processes. In particular, multivariate Hermite polynomials and their properties have been studied in connection with a symbolic version of the multivariate Brownian motion, while multivariate Bernoulli and Euler polynomials are represented as powers of multivariate polynomials which are time-space harmonic with respect to suitable multivariate Lévy processes.
Abstract
By using a symbolic method, known in the literature as the classical umbral calculus, a symbolic representation of Lévy processes is given and a new family of time-space harmonic polynomials with respect to such processes, which includes and generalizes the exponential complete Bell polynomials, is introduced.
The usefulness of time-space harmonic polynomials with respect to Lévy processes is that it is a martingale the stochastic process obtained by replacing the indeterminate x of the polynomials with a Lévy process, whereas the Lévy process does not necessarily have this property. Therefore to find such polynomials could be particularly meaningful for applications.
This new family includes Hermite polynomials, time-space harmonic with respect to Brownian motion, Poisson-Charlier polynomials with respect to Poisson processes, Laguerre and actuarial polynomials with respect to Gamma processes , Meixner polynomials of the first kind with respect to Pascal processes, Euler, Bernoulli, Krawtchuk, and pseudo-Narumi polynomials with respect to suitable random walks.
The role played by cumulants is stressed and brought to the light, either in the symbolic representation of Lévy processes and their infinite divisibility property, either in the generalization, via umbral Kailath-Segall formula, of the well-known formulae giving elementary symmetric polynomials in terms of power sum symmetric polynomials.
The expression of the family of time-space harmonic polynomials here introduced has some connections with the so-called moment representation of various families of multivariate polynomials. Such moment representation has been studied here for the first time in connection with the time-space harmonic property with respect to suitable symbolic multivariate Lévy processes. In particular, multivariate Hermite polynomials and their properties have been studied in connection with a symbolic version of the multivariate Brownian motion, while multivariate Bernoulli and Euler polynomials are represented as powers of multivariate polynomials which are time-space harmonic with respect to suitable multivariate Lévy processes.
Tipologia del documento
Tesi di dottorato
Autore
Oliva, Immacolata
Supervisore
Dottorato di ricerca
Scuola di dottorato
Scienze matematiche, fisiche ed astronomiche
Ciclo
24
Coordinatore
Settore disciplinare
Settore concorsuale
Parole chiave
Umbral calculus, time-space harmonic polynomials, Lévy processes, cumulants
URN:NBN
DOI
10.6092/unibo/amsdottorato/4549
Data di discussione
6 Giugno 2012
URI
Altri metadati
Tipologia del documento
Tesi di dottorato
Autore
Oliva, Immacolata
Supervisore
Dottorato di ricerca
Scuola di dottorato
Scienze matematiche, fisiche ed astronomiche
Ciclo
24
Coordinatore
Settore disciplinare
Settore concorsuale
Parole chiave
Umbral calculus, time-space harmonic polynomials, Lévy processes, cumulants
URN:NBN
DOI
10.6092/unibo/amsdottorato/4549
Data di discussione
6 Giugno 2012
URI
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