Barrieu, Pauline and Schoutens, Wim (2006) Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Journal of Computational and Applied Mathematics, 186 (1). pp. 300-323. ISSN 0377-0427
Abstract
We relate iterates of the infinitesimal generator of a Markov process to space–time harmonic functions. First, we develop the theory for a general Markov process and create a family a space–time martingales. Next, we investigate the special class of subordinators. Combinatorics results on space–time harmonic polynomials and generalized Stirling numbers are developed and interpreted from a probabilistic point of view. Finally, we introduce the notion of pairs of subordinators in duality, investigate the implications on the associated martingales and consider some explicit examples.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/03770... |
| Additional Information: | © 2007 Elsevier B.V. All rights reserved |
| Library of Congress subject classification: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
| Sets: | Departments > Statistics Research centres and groups > Centre for the Analysis of Time Series (CATS) Research centres and groups > Risk and Stochastics Group |
| Date Deposited: | 01 Nov 2007 |
| URL: | http://eprints.lse.ac.uk/2832/ |
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