On the eigenfunctions of the complex Ornstein-Uhlenbeck operators
Abstract
Starting from the 1-dimensional complex-valued Ornstein-Uhlenbeck process, we present two natural ways to imply the associated eigenfunctions of the 2-dimensional normal Ornstein-Uhlenbeck operators in the complex Hilbert space L2(μ). We call the eigenfunctions Hermite-Laguerre-Ito polynomials. In addition, the Mehler summation formula for the complex process are shown.
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