Time–space harmonic polynomials relative to a Lévy process

Josep Lluís Solé, Frederic Utzet
2008 Bernoulli  
In this work, we give a closed form and a recurrence relation for a family of time--space harmonic polynomials relative to a L\'{e}vy process. We also state the relationship with the Kailath--Segall (orthogonal) polynomials associated to the process.
doi:10.3150/07-bej6173 fatcat:ezqknd3oy5hvvcememgzec7vwa