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Iterates of the infinitesimal generator and space–time harmonic polynomials of a Markov process
- Source :
-
Journal of Computational & Applied Mathematics . Feb2006, Vol. 186 Issue 1, p300-323. 24p. - Publication Year :
- 2006
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 03770427
- Volume :
- 186
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Journal of Computational & Applied Mathematics
- Publication Type :
- Academic Journal
- Accession number :
- 18730463
- Full Text :
- https://doi.org/10.1016/j.cam.2005.04.014