Predictable projections of conformal stochastic integrals

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Date
2012-03Type
- Journal Article
ETH Bibliography
yes
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Abstract
In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Brownian motion and the corresponding Hermite polynomials. As a consequence of this result, we then investigate the relation between analytic functions and Lp-convergent series of Hermite polynomials. Finally, our results are applied to Widder's representation for a class of Brownian martingales, retrieving a characterization for the moments of Widder's measure. Show more
Permanent link
https://doi.org/10.3929/ethz-b-000048964Publication status
publishedExternal links
Journal / series
Electronic Journal of ProbabilityVolume
Pages / Article No.
Publisher
Institute of Mathematical StatisticsSubject
Predictable projections; Stochastic integrals; Conformal Brownian motion; Hermite polynomials; Brownian martingales; Widder's representationMore
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ETH Bibliography
yes
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