[FAM-news] [Ricam-all] RICAM-Colloquia (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Fri Jun 23 16:35:33 CEST 2006


---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 23 Jun 2006 10:46:41 +0200
From: Annette Weihs <annette.weihs at oeaw.ac.at>
Subject: [Ricam-all] RICAM-Colloquia

Prof. Jozef Teugels
Katholieke Universiteit Leuven

Monday, July 24, 14:00, HF136

Title: Levy Processes, Polynomials and Martingales

Abstract: It has long been known that there is a close relationship between
Brownian motion {W(t),t>=0} and the Hermite polynomials {Hm(y),m=0,1,..}.
More specifically E{H_m(W(t)/Sqrt{2t})| W(s)}= (s/t)^(m/2)
H_m(W(s)/Sqrt{2s}).
We show that a similar property holds for a large variety of pairs of Levy
processes and polynomials associated with them. Particular attention is
given to orthogonal polynomials. Apart from the well-known case of Brownian
motion, the Poisson process (with the Charlier poly-nomials) and the
Bernoulli process (with the Krawtchouck poly-nomials) provide two other
explicit examples.
This work is joint with Wim Schoutens of the K.U. Leuven (Belgium).

Annette Weihs

Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences

Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs at oeaw.ac.at
http://www.ricam.oeaw.ac.at



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