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On ladder height densities and Laguerre series in the study of stochastic functionals. I. Basic methods and results

Part of: Probabilistic methods, simulation and stochastic differential equations Stochastic processes

Published online by Cambridge University Press:  08 September 2016

Michael Schröder
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Abstract

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In this paper we develop methods for reducing the study, the computation, and the construction of stochastic functionals to those of standard concepts such as the moments of the pertinent random variables. Principally, our methods are based on the notion of ladder height densities and their Laguerre expansions, and our results provide a unifying framework for the distinct approaches of Dufresne (2000) and Schröder (2005).

Keywords

Laguerre series methods for stochastic functionalsladder height density

MSC classification

Primary: 65C50: Other computational problems in probability 33C45: Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) 60G99: None of the above, but in this section
Secondary: 33C90: Applications
Type
General Applied Probability
Information
Advances in Applied Probability , Volume 38 , Issue 4 , December 2006 , pp. 969 - 994
Copyright
Copyright © Applied Probability Trust 2006 

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