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# 1 Introduction

## 1 Introduction

It is well known () that between all processes with independent increments, essentially only the Brownian motion and the Poisson process possess the chaotic representation property (CRP) (see e.g.  for the definition of the CRP). Thus, in the situation where one has to deal with a general Lévy process, a natural question appears: What is an appropriate analog of the CRP in this case. At least three approaches are possible here.

The first approach was proposed by Itô in , see also . Let $`𝐗=(𝐗_t)_{t0}`$ be a square integrable Lévy process. One may always choose a version of this process which is right-continuous, has limits from the left, and does not have fixed discontinuities. By the Lévy–Khintchine formula, the process $`𝐗`$ can be decomposed into a Gaussian process plus a stochastic integral with respect to a compensated Poisson process on $`_+\times `$. By taking the tensor product of the chaos decomposition of the Brownian and Poisson components, one obtains a unitary isomorphism between the canonical $`L^2`$-space of the process $`𝐗`$ and a symmetric Fock over $`L^2(_+\times ;\vartheta )`$, where the measure $`\vartheta `$ is derived from the Lévy–Khintchine formula. In what follows, we will call this approach the Fock space decomposition for the Lévy process.

The second approach is due to Nualart and Schoutens  (see also the recent book ) and consists in the following. Denote $`\stackrel{~}{\nu }(ds):=s^2\nu (ds)`$, where $`\nu `$ is the Lévy measure of the process $`𝐗`$, and suppose that the Laplace transform of the measure $`\stackrel{~}{\nu }`$ may be extended to an analytic function in a neighborhood of zero, which particularly implies that the measure $`\stackrel{~}{\nu }`$ has all moments finite. Instead of considering a single Lévy process $`𝐗`$, one defines through the original process a family of centered power jump processes $`(𝐗_t^{(m)})_{t0}`$, $`m`$, which are called by the authors Teugels martingales. (We note that these processes have also been used in  in a study of Wick calculus of compound Poisson measures.) One then shows that there exist processes

$$𝐘_t^{(m)}=𝐗_t^{(m)}+a_{m,m1}𝐗_t^{(m1)}+\mathrm{}+a_{m,\mathrm{\hspace{0.17em}1}}𝐗_t^{(1)},t0,m,$$

with numbers $`a_{m,n}`$ independent of $`t`$, which are orthogonal for different $`m`$’s. A theorem in  states that any square-integrable random variable admits a representation as a sum of multiple stochastic integrals with respect to the processes $`(𝐘_t^{(m)})_{t0}`$, $`m`$. In the case where the CRP holds, either all the processes $`(𝐗_t^{(m)})_{t0}`$, $`m`$, coincide (Poisson case), or $`𝐗_t^{(m)}=0`$, $`t0`$, $`m2`$ (Gaussian case), and thus one arrives at the classical chaos decomposition. As main examples of application of this approach, the Lévy processes of Meixner’s type—the gamma, Pascal, and Meixner processes—were considered in .

It should be noticed that the Pascal and Meixner processes were originally introduced in  and , respectively. In , the Meixner process was proposed for a model for risky asserts and an analog of the Black–Sholes formula was established. We also refer to the recent paper  and the references therein, where many properties of the gamma process are discussed in detail.

Finally, the third approach is based on the idea of orthogonalization of polynomials with respect to a measure defined on the dual of a nuclear space. In the case of a general probability measure, such a procedure was first proposed by Skorohod in \[33, Sect. 11\]. Suppose that we are given a Lévy noise measure $`\mu `$ on the space $`𝒟^{}=𝒟^{}(_+)`$ of distributions on $`_+`$. We then have a realization of the Lévy process given by $`𝐗_t:=,\chi _{[0,t]}`$, $`t0`$, where $`\chi _A`$ denotes the indicator of a set $`A`$. Suppose that the Lévy measure of the process satisfies the same condition as in the approach of Nualart and Schoutens. Though the space generated by the multiple stochastic integrals with respect to the process $`𝐗`$ is, in general, a proper subspace of $`L^2(𝒟^{};\mu )`$, the set of all continuous polynomials, i.e., finite sums of functions of the form $`𝒟^{}\omega \omega ^n,f_n`$ with $`f_n`$ being a symmetric test function on $`_+^n`$ (denoted by $`f_n𝒟^{\widehat{}n}`$), is dense in $`L^2(𝒟^{};\mu )`$. Denoting by $`𝒫_n^{}(𝒟)`$ the closure of all continuous polynomials of power $`n`$ in $`L^2(𝒟^{};\mu )`$, we obtain the orthogonal decomposition

$$L^2(𝒟^{};\mu )=\underset{n=0}{\overset{\mathrm{}}{}}𝐏_n(𝒟^{}),$$
(1.1)
where $`𝐏_n(𝒟^{})`$ denotes the orthogonal difference $`𝒫_n^{}(𝒟^{})𝒫_{n1}^{}(𝒟^{})`$. The set of all projections $`:^n,f_n:`$ of continuous monomials $`^n,f_n`$ onto $`𝐏_n(𝒟^{})`$ is dense in $`𝐏_n(𝒟^{})`$. Therefore, we can define, for each $`n`$, a Hilbert space $`𝔉_n`$ as the closure of the set $`𝒟^{\widehat{}n}`$ in the norm generated by the scalar product

$$f_n,g_n_{𝔉_n}:=\frac{1}{n!}_𝒟^{}:\omega ^n,f_n::\omega ^n,g_n:\mu (d\omega ),f_n,g_n𝒟^{\widehat{}n}.$$
(1.2)
Hence, we naturally arrive at a unitary operator between $`L^2(𝒟^{};\mu )`$ and the Hilbert space

$$𝔉:=\underset{n=0}{\overset{\mathrm{}}{}}𝔉_nn!,$$
(1.3)
where $`𝔉_0:=`$. In the case where the CRP holds true, $`𝔉`$ is the usual symmetric Fock space over $`L^2(_+;dx)`$, while the obtained unitary operator coincides with the operator given through the multiple stochastic integral decomposition. In the general case, the main problem is to identify the scalar product (1.2) explicitly.

As well known, for a probability measure $`\stackrel{~}{\mu }`$ on $``$ such that the set of all polynomials on $``$ is dense in $`L^2(;\stackrel{~}{\mu })`$, the procedure of orthogonalization of polynonials with respect to $`\stackrel{~}{\mu }`$ is equivalent to finding the Jacobi matrix $`J`$ defining an (unbounded) self-adjoint operator in $`\mathrm{}_2`$, whose spectral measure is $`\stackrel{~}{\mu }`$, see \[1, Ch. VII, Sect. 1\]. More exactly, the Jacobi matrix $`J=(J_{i,j})_{i,j=0}^{\mathrm{}}`$ is given by $`J_{i,j}=0`$ if $`|ij|>1`$, $`J_{i,i1}=J_{i1,i}=\beta _i`$, $`i`$, $`J_{i,i}=\alpha _i`$, $`i_+`$, where $`\alpha _i,\beta _i`$ are the coefficients of the recurrence relation satisfied by the system $`\{Q_i,i_+\}`$ of the normalized orthogonal polynomials:

$$sQ_i(s)=\beta _{i+1}Q_{i+1}(s)+\alpha _iQ_i(s)+\beta _iQ_i(s),i_+,Q_1(s):=0,Q_1(s):=1.$$
(1.4)
Vice versa, given a Jacobi matrix $`J`$ which determines a self-adjoint operator in $`\mathrm{}_2`$, there exists a spectral measure $`\stackrel{~}{\mu }`$ of $`J`$, which is a probability measure on $``$ whose normalized orthogonal polynomials satisfy the recurrence relation (1.4) with the coefficients $`\alpha _i,\beta _i`$ defined by $`J`$ as above.

In the infinite-dimensional case, the role of a Jacobi matrix should be played by a Jacobi field $`(A(\phi ))_{\phi 𝒟}`$, see the works by Berezansky et al.  and  for the notion of a Jacobi field. More precisely, each operator $`A(\phi )`$ in $`𝔉`$ should correspond in the functional realization to the operator of multiplication by the monomial $`,\phi `$, and should have a three-diagonal structure with respect to the orthogonal decomposition (1.3), i.e., each $`A(\phi )`$ should be a sum of a creation, neutral, and annihilation operator. However, for a general probability measure on the dual of a nuclear space, the problem of existence of a corresponding Jacobi field is still open. We refer here to the work  where a sufficient condition for the existence of the Jacobi field was given in terms of the moments of the measure.

This problem was solved for the gamma process in  (see also ) and for the processes of Meixner’s type—defined even on a general manifold $`X`$ (instead of $`_+`$)—in the recent paper  (see also the paper  for the case of the Pascal process on $`_+`$). More precisely, in  the Hilbert space $`𝔉`$ was a priori defined as an extended Fock space, a Jacobi field in $`𝔉`$ was constructed, and then it was shown that the spectral measure of the Jacobi field is a corresponding Lévy process.

In , it was shown that the extended Fock space is naturally isomorphic to a direct sum of subspaces of $`L^2`$-spaces of a special form. In , it was shown that the extended Fock space decomposition of the gamma process can be thought of as an expansion of any $`L^2`$-random variable in multiple integrals constructed by using the family of the resolutions of the identity of the operators of the corresponding Jacobi field.

The main aims of the present paper are to develop the three approaches in the case of a general ($``$-valued) Lévy process without Brownian part on a manifold, and (what is more important) to understand a relationship between these approaches. So, the contents of the present paper is as follows.

In Section 2, we present a definition of a Lévy process on a general Riemannian manifold $`X`$. In the case where the Lévy measure of the process has the first moment finite, we essentially follow the definition and construction of the process in , using the corresponding Poisson process. In the case of the infinite first moment (which, for a Lévy process on $`_+`$, yields that the trajectories of the process are of unbounded variation on any finite interval of time), we define a Lévy process as a generalized process on a space $`𝒟^{}`$ of distributions on $`X`$ (which is dual of a nuclear space) through its law—a probability measure $`\mu `$ on $`𝒟^{}`$ given by its Fourier transform (compare with \[17, Ch. III, Sec. 4\]).

In Section 3, using the CRP of the Poisson process on $`\times X`$ with intensity $`\nu \sigma `$, we construct a unitary operator between the space $`L^2(𝒟^{};\mu )`$ and the symmetric Fock space over $`L^2(\times X;\nu \sigma )`$. Here $`\nu `$ is the Lévy measure of the process and $`\sigma `$ is its intensity measure.

In Section 4, using the unitary operator mentioned above, we prove the Nualart–Schoutens chaotic decomposition for the Lévy process on the manifold. We note that even in the standard case where $`X=`$ or $`_+`$, our proof differs from the original one in . Furthermore, we discuss the unitary description of $`L^2(𝒟^{};\mu )`$ which appears from the obtained chaotic decomposition (the original description of  works only in the case of the one-dimensional underlying space). Using our approach, we, in particular, easily derive a formula for multiplication of any multiple stochastic integral by a monomial of first order.

Next, in Section 5, we derive from the Nualart–Schoutens decomposition, the decomposition (1.1) for $`L^2(𝒟^{};\mu )`$. More exactly, we explicitly identify the scalar product (1.2), and furthermore, we write down a representation of any function $`:^n,f_n:`$ as defined above through multiple stochastic integrals as in Section 4. Thus, we establish a correspondence between the second and third approaches to chaotic decomposition (Corollaries 5.1 and 5.3). Our results also allow one to identify the Jacobi field corresponding to the Lévy process.

Finally, in Section 6, we apply the obtained results to the processes of Meixner’s type—the gamma, Pascal, and Meixner processes. These are characterized by e.g. a special form of their Lévy measure $`\nu `$, more exactly, the measure $`\stackrel{~}{\nu }(ds)=s^2\nu (ds)`$ is a probability measure on $``$ whose orthogonal polynomials with leading coefficient 1 are polynomials of Meixner’s type and satisfy the recurrence relation (6.1) below. In turn, their one-dimensional distributions happen to be again orthogonality measures of polynomials of Meixner’s type. We show that, for these processes, analysis related to the orthogonalized polynomials becomes sufficiently simpler and reacher than in the general case. (Notice that this difference cannot be felt if one restricts himself only to the approach of Itô or that of Nualart and Schoutens!) In particular, we re-derive the Jacobi field of the process as a special case of the general formulas. As a by-product of our considerations, we obtain a more explicit description of the structure of the extended Fock space $`𝔉`$ than that obtained in . Finally, we show that, in the case of the gamma and Pascal processes, the decomposition of each function $`:^n,f_n:`$ into a sum of multiple stochastic integrals of the Nualart–Schoutens type may be interpreted as decomposition of a random measure obtained by dividing the whole space into (non-random) disjoint parts (Theorem 6.1).

## 2 Lévy processes on manifolds

In this section, we construct a Lévy process on a manifold, using ideas of .

Let $`X`$ be a complete, connected, oriented $`C^{\mathrm{}}`$ (non-compact) Riemannian manifold and let $`(X)`$ be the Borel $`\sigma `$-algebra on $`X`$. Let $`\sigma `$ be a Radon measure on $`(X,(X))`$ that is non-atomic, i.e., $`\sigma (\{x\})=0`$ for every $`xX`$ and non-degenerate, i.e., $`\sigma (O)>0`$ for any open set $`OX`$. (We note that the assumption of the nondegeneracy of $`\sigma `$ is nonessential and the results below may be generalized to the case of a degenerate $`\sigma `$.) Note that $`\sigma (\mathrm{\Lambda })<\mathrm{}`$ for each $`\mathrm{\Lambda }_c(X)`$—the set of all sets from $`(X)`$ with compact closure.

Let $`:=\{0\}`$. We endow $``$ with the relative topology of $``$ and let $`()`$ denote the Borel $`\sigma `$-algebra on $``$. Let $`\nu `$ be a Radon measure on $`(,())`$, whose support contains an infinite number of points. Let $`\stackrel{~}{\nu }(ds):=s^2\nu (ds)`$. We suppose that $`\stackrel{~}{\nu }`$ is a finite measure on $`(,())`$, and furthermore, there exists $`\epsilon >0`$ such that

$$_{}\mathrm{exp}\left(\epsilon |s|\right)\stackrel{~}{\nu }(ds)<\mathrm{}.$$
(2.1)
By (2.1), the Laplace transform of the measure $`\stackrel{~}{\nu }`$ is well defined in a neighborhood of zero and may be extended to an analytic function on $`\{z:|z|<\epsilon \}`$. Therefore, the measure $`\stackrel{~}{\nu }`$ has all moments finite, and moreover, the set of all polynomials is dense in $`L^2(;\stackrel{~}{\nu })`$. Next, we evidently have

$$n2:_{}|s|^n\nu (ds)<\mathrm{}.$$
(2.2)
Notice that (2.2) implies that $`\nu (|s|a)<\mathrm{}`$ for any $`a>0`$.

We will first additionally suppose that

$$_{}|s|\nu (ds)<\mathrm{}.$$
(2.3)
Let $`\mathrm{\Gamma }_{\times X}`$ denote the configuration space over $`\times X`$ defined as follows:

$$\mathrm{\Gamma }_{\times X}:=\{\gamma \times X:\mathrm{}(\gamma \{|s|\epsilon \}\times \mathrm{\Lambda })<\mathrm{}\text{ for each }\epsilon >0\text{ and }\mathrm{\Lambda }_c(X)\}.$$

Here, $`\mathrm{}(A)`$ denotes the cardinality of a set $`A`$. Each $`\gamma \mathrm{\Gamma }_{\times X}`$ may be identified with the positive Radon measure

$$\underset{(s,x)\gamma }{}\delta _{(s,x)}_+(\times X),$$

where $`\delta _{(s,x)}`$ denotes the Dirac measure with mass at $`(s,x)`$, $`_{(s,x)\mathrm{}}\delta _{(s,x)}:=`$zero measure, and$`_+(\times X)`$ denotes the set of all positive Radon measures on the Borel $`\sigma `$-algebra $`(\times X)`$. We endow the space $`\mathrm{\Gamma }_{\times X}`$ with the relative topology as a subset of the space $`_+(\times X)`$ with the vague topology, i.e., the weakest topology on $`\mathrm{\Gamma }_{\times X}`$ with respect to which all maps

$$\mathrm{\Gamma }_{\times X}\gamma \gamma ,f:=_{\times X}f(s,x)\gamma (ds,dx)=\underset{(s,x)\gamma }{}f(s,x)$$

are continuous. Here, $`fC_0(\times X)`$($`:=`$the set of all continuous functions on $`\times X`$ with compact support).

Let $`\pi _{\nu \sigma }`$ denote the Poisson measure on $`(\mathrm{\Gamma }_{\times X},(\mathrm{\Gamma }_{\times X}))`$ with intensity $`\nu \sigma `$. This measure can be characterized by its Fourier transform

$$_{\mathrm{\Gamma }_{\times X}}e^{i\gamma ,f}\pi _{\nu \sigma }(d\gamma )=\mathrm{exp}\left[_{\times X}(e^{if(s,x)}1)\nu (ds)\sigma (dx)\right],fC_0(\times X).$$
(2.4)
We refer to e.g.  for an explicit construction of the Poisson measure.

Since the measure $`\sigma `$ is non-atomic, it follows from the construction of the Poisson measure that, for $`\pi _{\nu \sigma }`$-a.e. $`\gamma \mathrm{\Gamma }_{\times X}`$,

$$(s,x),(s^{},x^{})\gamma :(s,x)(s^{},x^{})xx^{}.$$
(2.5)
We fix an arbitrary $`x_0X`$ and let $`B(x_0,r)`$ denote the closed ball in $`X`$ centered at $`x_0`$ and of radius $`r`$. For any $`n,k`$, we then have, by the Mecke identity (e.g. ),

$`{\displaystyle _{\mathrm{\Gamma }_{\times X}}}{\displaystyle _{\times X}}|s|^k\chi _{B(x_0,n)}(x)\gamma (ds,dx)\pi _{\nu \sigma }(d\gamma )`$ $`={\displaystyle _{\times X}}|s|^k\chi _{B(x_0,n)}(x)\nu (ds)\sigma (dx)`$
$`={\displaystyle __+}|s|^k\nu (ds)\sigma (B(x_0,n))<\mathrm{}.`$ (2.6)
We denote by $`\stackrel{~}{\mathrm{\Gamma }}_{\times X}(\mathrm{\Gamma }_{\times X})`$ the set of all $`\gamma \mathrm{\Gamma }_{\times X}`$ for which (2.5) holds and$`_{\times X}|s|^k\chi _{B(x_0,n)}(x)\gamma (ds,dx)<\mathrm{}`$ for $`k,n`$. By (2.6), we get $`\pi _{\nu \sigma }(\stackrel{~}{\mathrm{\Gamma }}_{\times X})=1`$. Let $`(\stackrel{~}{\mathrm{\Gamma }}_{\times X})`$ denote the trace $`\sigma `$-algebra of $`(\mathrm{\Gamma }_{\times X})`$ on $`\stackrel{~}{\mathrm{\Gamma }}_{\times X}`$.

For each $`\gamma \stackrel{~}{\mathrm{\Gamma }}_{\times X}`$, we define $`\omega (\gamma ):=_{(s,x)\gamma }s\delta _x`$, which is a signed Radon measure on $`X`$. Furthermore, the mapping $`\stackrel{~}{\mathrm{\Gamma }}_{\times X}\gamma \omega (\gamma )(X)`$ is Borel-measurable. Here, $`(X)`$ denotes the space of all signed Radon measures on $`X`$ endowed with the vague topology. Let $`\mathrm{\Omega }(X)`$ denote the image of $`\stackrel{~}{\mathrm{\Gamma }}_{\times X}`$ under the mapping $`\gamma \omega (\gamma )`$ and let $`(\mathrm{\Omega }(X))`$ denote the trace $`\sigma `$-algebra of $`((X))`$ on $`\mathrm{\Omega }(X)`$.

We define a Lévy process on $`X`$ with intensity measure $`\sigma `$ and Lévy measure $`\nu `$ as a generalized process on $`\mathrm{\Omega }(X)`$ whose law is the probability measure $`\mu _{\nu ,\sigma }`$ on $`(\mathrm{\Omega }(X),(\mathrm{\Omega }(X)))`$ obtained as the image of $`\pi _{\nu \sigma }`$ under the measurable mapping

$$\stackrel{~}{\mathrm{\Gamma }}_{\times X}\gamma \omega (\gamma )\mathrm{\Omega }(X).$$
(2.7)
As follows from (2.4), the Fourier transform of $`\mu _{\nu ,\sigma }`$ is given by

$$_{\mathrm{\Omega }(X)}e^{is,\phi }\mu _{\nu ,\sigma }(d\omega )=\mathrm{exp}\left[_{\times X}(e^{is\phi (x)}1)\nu (ds)\sigma (dx)\right],\phi C_0(X).$$

Here, $`C_0(X)`$ denotes the set of all continuous functions on $`X`$ with compact support.

In the case where (2.3) does not hold, such a direct construction of a Lévy process is, of course, impossible, so we proceed as follows.

We denote by $`𝒟`$ the space $`C_0^{\mathrm{}}(X)`$ of all real-valued infinite differentiable functions on $`X`$ with compact support. This space may be naturally endowed with a topology of a nuclear space, see e.g.  for the case $`X=^d`$ and e.g.  for the case of a general Riemannian manifold. We recall that

$$𝒟=\underset{\tau T}{\mathrm{proj}\mathrm{lim}}_\tau .$$
(2.8)
Here, $`T`$ denotes the set of all pairs $`(\tau _1,\tau _2)`$ with $`\tau _1_+`$ and $`\tau _2C^{\mathrm{}}(X)`$, $`\tau _2(x)1`$ for all $`xX`$, and $`_\tau =_{(\tau _1,\tau _2)}`$ is the Sobolev space on $`X`$ of order $`\tau _1`$ weighted by the function $`\tau _2`$, i.e., the scalar product in $`_\tau `$, denoted by $`(,)_\tau `$ is given by

$$(f,g)_\tau =_X\left(f(x)g(x)+\underset{i=1}{\overset{\tau _1}{}}^if(x),^ig(x)_{T_x(X)^i}\right)\tau _2(x)𝑑x,$$
(2.9)
where $`^i`$ denotes the $`i`$-th (covariant) gradient, and $`dx`$ is the volume measure on $`X`$. For $`\tau ,\tau ^{}T`$, we will write $`\tau ^{}\tau `$ if $`\tau _1^{}\tau _1`$ and $`\tau _2^{}(x)\tau _2(x)`$ for all $`xX`$.

The space $`𝒟`$ is densely and continuously embedded into the real $`L^2`$-space $`L^2(X;\sigma )`$. As easily seen, there always exists $`\tau _0T`$ such that $`_{\tau _0}`$ is continuously embedded into $`L^2(X;\sigma )`$. We denote $`T^{}:=\{\tau T:\tau \tau _0\}`$ and (2.8) holds with $`T`$ replaced by $`T^{}`$. In what follows, we will just write $`T`$ instead of $`T^{}`$. Let $`_\tau `$ denote the dual space of $`_\tau `$ with respect to the zero space $`L^2(X;\sigma )`$. Then $`𝒟^{}=\underset{\tau T}{\mathrm{ind}\mathrm{lim}}_\tau `$ is the dual of $`𝒟`$ with respect to $`L^2(X;\sigma )`$, and we thus get the standard triple

$$𝒟^{}L^2(X;\sigma )𝒟.$$

The dual pairing between any $`\omega 𝒟^{}`$ and $`\xi 𝒟`$ will be denoted by $`\omega ,\xi `$. We can evidently consider $`(X)`$ a subset of $`𝒟^{}`$ by identifying any $`\omega (X)`$ with $`\stackrel{~}{\omega }𝒟^{}`$ by setting $`\stackrel{~}{\omega },\phi :=_X\phi (x)\omega (dx)`$ for each $`\phi 𝒟`$. Let $`𝒞(𝒟^{})`$ denote the cylinder $`\sigma `$-algebra on $`𝒟^{}`$. Then, the trace $`\sigma `$-algebra of $`𝒞(𝒟^{})`$ on $`(X)`$ coincides with $`((X))`$. Thus, any probability measure on $`((X))`$ may also be considered as a probability measure on $`𝒞(𝒟^{})`$.

We now define a centered Lévy process as a generalized process on $`𝒟^{}`$ whose law is the probability measure on $`(𝒟^{},𝒞(𝒟^{}))`$ given by its Fourier transform

$$_𝒟^{}e^{i\omega ,\phi }\rho _{\nu ,\sigma }(d\omega )=\mathrm{exp}\left[_{\times X}(e^{is\phi (x)}1is\phi (x))\nu (ds)\sigma (dx)\right],\phi 𝒟.$$
(2.10)
The existence of $`\rho _{\nu ,\sigma }`$ follows from the Bochner–Minlos theorem. In the case where (2.3) holds, $`\rho _{\nu ,\sigma }`$ coincides with the measure obtained by centering $`\mu _{\nu ,\sigma }`$.

## 3 The Fock space decomposition for a Lévy process

In this section, we will discuss the Fock space decomposition for a Lévy processes which comes from the multiple stochastic integral decomposition for the corresponding Poisson process.

Let first (2.3) hold. Since the mapping (2.7) is one-to-one and since $`\mu _{\nu ,\sigma }`$ is the image measure of $`\pi _{\nu \sigma }`$ under (2.7), we conclude that the operator

$$L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })FUF=(UF)(\omega ):=F(\gamma (\omega ))L^2(\mathrm{\Omega }(X);\mu _{\nu ,\sigma })$$

is unitary. Here, $`\omega \gamma (\omega )`$ is the inverse mapping of (2.7). As well known (see e.g. ), the Poisson measure $`\pi _{\nu \sigma }`$ possesses the chaotic decomposition property. More exactly, for each $`g_nL^2(\times X;\nu \sigma )^{\widehat{}n}`$, $`n`$, one can construct a multiple stochastic integral $`I^{(n)}(g_n)`$ with respect to the centered Poisson process on $`\times X`$ with intensity $`\nu \sigma `$. Here, $`\widehat{}`$ denotes the symmetric tensor product. Furthermore, we have

$$I^{(n)}(g_n)_{L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })}^2=n!g_n_{L^2(\times X;\nu \sigma )^{\widehat{}n}}^2,$$
(3.1)
and any random variable $`GL^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$ can be uniquely represented as a sum of multiple stochastic integrals:

$$G=\underset{n=0}{\overset{\mathrm{}}{}}I^{(n)}(g_n),$$

where $`I^{(0)}(g_0):=g_0`$, and the series converges in $`L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$. Thus, we have the unitary operator

$$(L^2(\times X;\nu \sigma ))g=(g_n)_{n=0}^{\mathrm{}}Ig:=\underset{n=0}{\overset{\mathrm{}}{}}I^{(n)}(g_n)L^2(\mathrm{\Gamma }_{\times X};\pi _{\nu \sigma }).$$
(3.2)
Here, for a real Hilbert space $``$, $`()`$ denotes the real Fock space over $``$:

$$():=\underset{n=0}{\overset{\mathrm{}}{}}^{\widehat{}n}n!,^{\widehat{}0}:=$$

(for a Hilbert space $`H`$ and a constant $`c>0`$, we denote by $`Hc`$ the Hilbert space consisting of the same elements as $`H`$ and with scalar product equal to $`c`$ times the scalar product in $`H`$).

Setting $`J:=UI`$, we get the unitary operator

$$(L^2(\times X;\nu \sigma ))g=(g_n)_{n=0}^{\mathrm{}}Jg=\underset{n=0}{\overset{\mathrm{}}{}}J^{(n)}(g_n)L^2(\mathrm{\Omega }(X);\mu _{\nu ,\sigma }),$$
(3.3)
where $`J^{(n)}(g_n):=U(I^{(n)}(g_n))`$.

Let us consider the general case. We still have the unitary operator $`I`$ as in (3.2). We now denote by $`𝒫_{\mathrm{c}yl}(𝒟^{})`$ the set of all cylindrical polynomials on $`𝒟^{}`$, i.e., the set of all functions on $`𝒟^{}`$ that are finite sums of constants and monomials of the form

$$,\phi _1\mathrm{},\phi _n,\phi _1,\mathrm{},\phi _n𝒟,n.$$

###### Lemma 3.1

$`𝒫_{\mathrm{c}yl}(𝒟^{})`$ is a dense subset of $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$.

Proof. Let $`𝒟_{}`$ denote the complexification of the real space $`𝒟`$, and define the Laplace transform of the measure $`\rho _{\nu ,\sigma }`$ by

$$L(\theta ):=_𝒟^{}e^{\omega ,\theta }\rho _{\nu ,\sigma }(d\omega ),\theta 𝒟_{},$$
(3.4)
provided the integral on the right hand side of (3.4) exists. Using (2.1) and (2.10), we conclude that the Laplace transform $`L`$ is well defined and analytic in a neighborhood of zero in $`𝒟_{}`$ (which equivalently means that $`L`$ is bounded on this neighborhood and G-holomorphic, see e.g. ). Then, by (the proof of) \[33, Sec. 10, Th. 1\], we conclude the statement. $`\mathrm{}`$

In what follows, when writing $`I^{(n)}(g_n(s_1,\mathrm{},s_n)f_n(x_1,\mathrm{},x_n))`$, we will understand under $`s_1`$,…, $`s_n`$, $`x_1`$,…, $`x_n`$ the variables in which the integration in the multiple stochastic integral is carried out.

###### Lemma 3.2

For any $`\phi _1,\mathrm{},\phi _n𝒟`$, $`n`$, the distribution of the $`^n`$-valued random variable $`(,\phi _1,\mathrm{},,\phi _n)`$ under $`\rho _{\nu ,\sigma }`$ coincides with the distribution of the $`^n`$-valued random variable$`(I^{(1)}(s\phi _1(x)),\mathrm{},I^{(1)}(s\phi _n(x)))`$ under $`\pi _{\nu \sigma }`$.

Proof. By using (2.4) and (2.10), we see that, for any $`\phi 𝒟`$, the Fourier transform of the random variable $`,\phi `$ under $`\rho _{\nu ,\sigma }`$ coincides with the Fourier transform of the random variable $`I^{(1)}(s\phi (x))`$ under $`\pi _{\nu \sigma }`$. Therefore, by linearity, we conclude that, for any fixed $`\phi _1,\mathrm{},\phi _n𝒟`$, $`n`$, the Fourier transform of the random variable $`(,\phi _1,\mathrm{},,\phi _n)`$ under $`\rho _{\nu ,\sigma }`$ coincides with the Fourier transform of the random variable $`(I^{(1)}(s\phi _1(x)),\mathrm{},I^{(1)}(s\phi _n(x)))`$ under $`\pi _{\nu \sigma }`$. From here the statement follows. $`\mathrm{}`$

For any $`fL^2(\times X;\nu \sigma )`$, let $`A(f)`$ denote the operator in $`(L^2(\times X;\nu \sigma ))`$ whose image under the unitary $`I`$ is the operator of multiplication by the random variable $`I^{(1)}(f)`$. We then have (see e.g. )

$$A(f)g_n=A^+(f)g_n+A^0(f)g_n+A^{}(g)g_n,n_+$$
(3.5)
where

$`A^+(f)g_n(s_1,x_1,\mathrm{},s_{n+1},x_{n+1})`$ $`=(f(s_1,x_1)g_n(s_2,x_2,\mathrm{},s_{n+1},x_{n+1}))^{},`$ (3.6)
$`A^0(f)g_n(s_1,x_1,\mathrm{},s_n,x_n)`$ $`=n(f(s_1,x_1)g_n(s_1,x_1,\mathrm{},s_n,x_n))^{},`$ (3.7)
$`A^{}(f)g_n(s_1,x_1,\mathrm{},s_{n1},x_{n1})`$ $`=n{\displaystyle _{\times X}}f(s,x)g_n(s,x,s_1,x_1,\mathrm{},s_{n1},x_{n1})\nu (ds)\sigma (dx),`$ (3.8)
that is, $`A^+(f)`$, $`A^0(f)`$, $`A^{}(f)`$ are creation, neutral, and annihilation operators in the Fock space, respectively. Here, $`()^{}`$ denotes the symmetrization of a function, and$`g_nL^2(\times X;\nu \sigma )^{\widehat{}n}`$ is such that the right hand side of (3.7) belongs to$`L^2(\times X;\nu \sigma )^{\widehat{}n}`$.

###### Lemma 3.3

The linear span of the set

$$\left\{1,I^{(1)}(s\phi _1(x))\mathrm{}I^{(1)}(s\phi _n(x)),\phi _1,\mathrm{},\phi _n𝒟,n\right\}$$
(3.9)
is dense in $`L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$.

Proof. By (3.5)–(3.8), each function $`I^{(1)}(s\phi _1(x))\mathrm{}I^{(1)}(s\phi _n(x))`$, $`\phi _1,\mathrm{},\phi _n𝒟`$, $`n`$, indeed belongs to $`L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$. Let $`𝔏`$ denote the closed linear span of the set (3.9), and thus we have to show that $`𝔏=L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$.

Let us consider the unitary operator

$$L^2(;\nu )f=f(s)\frac{f(s)}{s}L^2(;\stackrel{~}{\nu }).$$
(3.10)
As we already mentioned above, the set of functions $`\{s^n,n_+\}`$ is total in $`L^2(;\stackrel{~}{\nu })`$, i.e., its linear span is a dense subset. Therefore, the set of functions $`\{s^n,n\}`$ is total in $`L^2(;\nu )`$. Hence, it suffices to show that, for each $`f_nL^2(X;\sigma )^n`$, $`n`$, and $`k_1,\mathrm{},k_n`$,

$$I^{(n)}\left((s_1^{k_1}\mathrm{}s_n^{k_n}f_n(x_1,\mathrm{},x_n))^{}\right)𝔏.$$
(3.11)
Let $`𝒪_c(X)`$ denote the algebra of sets in $`X`$ generated by all open sets in $`X`$ with compact closure. For each $`m`$, we introduce a random measure $`𝒳^{(m)}`$ on $`X`$ by setting, for each $`\mathrm{\Delta }𝒪_c(X)`$,

$$𝒳^{(m)}(\mathrm{\Delta }):=I^{(1)}(s^m\chi _\mathrm{\Delta }(x)).$$

It is easy to see (see also the proof of Lemma 4.2 below) that, for any $`f_nL^2(X;\sigma )^n`$, $`n`$, and any $`k_1,\mathrm{},k_n`$,

$$I^{(n)}\left((s_1^{k_1}\mathrm{}s_n^{k_n}f^{(n)}(x_1,\mathrm{},x_n))^{}\right)=_{X^n}f^{(n)}(x_1,\mathrm{},x_n)𝑑𝒳^{(k_1)}(x_1)\mathrm{}𝑑𝒳^{(k_n)}(x_n),$$

where the expression on the right hand side denotes the multiple stochastic integral constructed with respect to the random measures $`𝒳^{(k_1)},\mathrm{},𝒳^{(k_n)}`$. Therefore, it is enough to prove that, for any disjoint $`\mathrm{\Delta }_1,\mathrm{},\mathrm{\Delta }_n𝒪_c(X)`$,

$$𝒳^{(k_1)}(\mathrm{\Delta }_1)\mathrm{}𝒳^{(k_n)}(\mathrm{\Delta }_n)𝔏.$$

This, in turn, will follow from the next

Claim. For $`m`$, let $`𝔏_m`$ denote the closure in $`L^{2m}(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$ of the linear span of the set (3.9). (In particular, we get $`𝔏=𝔏_1`$.) Then, we have for any $`n,m`$ and $`\mathrm{\Delta }𝒪_c(X)`$

$$𝒳^{(n)}(\mathrm{\Delta })𝔏_m.$$
(3.12)
Proof of the Claim. By (3.5)–(3.8), we see that each element of the set (3.9) indeed belongs to $`L^{2m}(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$. We now prove (3.12) by induction in $`n`$. Let $`\mathrm{\Delta }𝒪_c(X)`$ and let $`n=1`$. Approximate $`\chi _\mathrm{\Delta }`$ by a sequence $`\{\phi _k,k\}𝒟`$ such that $`_k\mathrm{supp}\phi _k`$ is precompact in $`X`$, $`|\phi _k(x)|\mathrm{const}<\mathrm{}`$ for all $`k`$ and $`xX`$, and $`\phi _k(x)\chi _\mathrm{\Delta }(x)`$ as $`k\mathrm{}`$ for each $`xX`$. We then get by (3.5)–(3.8)

$$_{\stackrel{~}{\mathrm{\Gamma }}_{\times X}}\left(𝒳^{(1)}(\mathrm{\Delta })I^{(1)}(s\phi _k(x))\right)^{2m}𝑑\pi _{\nu \sigma }=_{\stackrel{~}{\mathrm{\Gamma }}_{\times X}}I^{(1)}\left(s(\chi _\mathrm{\Delta }(x)\phi _k(x))\right)^{2m}𝑑\pi _{\nu \sigma }$$

$$=(A^{2m}(s(\chi _\mathrm{\Delta }(x)\phi _k(x)))\mathrm{\Omega },\mathrm{\Omega })_{(L^2(\times X;\nu \sigma ))}0\text{as }k\mathrm{}.$$
(3.13)
Here, $`\mathrm{\Omega }:=(1,0,0,\mathrm{})`$ denotes the vacuum in the Fock space.

Suppose the statement holds for $`𝒳^{(1)},\mathrm{},𝒳^{(n)}`$ and let us prove it for $`𝒳^{(n+1)}`$. By (3.5)–(3.8)

$$𝒳^{(n+1)}(\mathrm{\Delta })=𝒳^{(1)}(\mathrm{\Delta })𝒳^{(n)}(\mathrm{\Delta })I^{(2)}\left((s_1s_2^n\chi _\mathrm{\Delta }(x_1)\chi _\mathrm{\Delta }(x_2))^{}\right)_{}s^{n+1}\nu (ds)\sigma (\mathrm{\Delta }).$$

We evidently have $`𝒳^{(1)}(\mathrm{\Delta })𝒳^{(n)}(\mathrm{\Delta })𝔏_m`$ for all $`m`$. Hence, it remains to show that

$$I^{(2)}\left((s_1s_2^n\chi _\mathrm{\Delta }(x_1)\chi _\mathrm{\Delta }(x_2))^{}\right)𝔏_m,m.$$

Clearly,

$$I^{(2)}\left((s_1s_2^n\chi _\mathrm{\Delta }(x_1)\chi _\mathrm{\Delta }(x_2))^{}\right)=I^{(2)}\left((s_1s_2^n\chi _{\mathrm{\Delta }^2D}(x_1,x_2))^{}\right),$$

where $`D:=\{(x_1,x_2)X^2:x_1=x_2\}`$. We approximate the indicator $`\chi _{\mathrm{\Delta }^2D}(x_1,x_2)`$ by a sequence of functions $`\{f_k,k\}`$ such that each $`f_k`$ is a finite sum of functions $`\chi _{\mathrm{\Delta }_1}(x_1)\chi _{\mathrm{\Delta }_2}(x_2)`$ with $`\mathrm{\Delta }_1,\mathrm{\Delta }_2𝒪_c(X)`$, $`\mathrm{\Delta }_1\mathrm{\Delta }_2=\mathrm{}`$, $`_k\mathrm{supp}f_k`$ is precompact in $`X^2`$, $`|f_k(x_1,x_2)|1`$ for all $`k`$ and $`(x_1,x_2)X^2`$, and $`f_k(x_1,x_2)\chi _{\mathrm{\Delta }^2D}(x_1,x_2)`$ as $`k\mathrm{}`$ for all $`(x_1,x_2)X^2`$. For any $`\mathrm{\Delta }_1,\mathrm{\Delta }_2𝒪_c(X)`$, $`\mathrm{\Delta }_1\mathrm{\Delta }_2=\mathrm{}`$,

$$I^{(2)}\left((s_1s_2^n\chi _{\mathrm{\Delta }_1}(x_1)\chi _{\mathrm{\Delta }_2}(x_2))^{}\right)=𝒳^{(1)}(\mathrm{\Delta }_1)𝒳^{(n)}(\mathrm{\Delta }_2)𝔏_m,m,$$

which yields

$$I^{(2)}\left((s_1s_2^nf_k(x_1,x_2))^{}\right)𝔏_m,k,m,$$
(3.14)
We clearly have

$$I^{(2)}\left((s_1s_2^nf_k(x_1,x_2))^{}\right)I^{(2)}\left((s_1s_2^n\chi _{\mathrm{\Delta }^2D}(x_1,x_2))^{}\right)\text{in }L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })$$
(3.15)
as $`k\mathrm{}`$. By (3.14) and (3.15), we will get the inclusion

$$I^{(2)}\left((s_1s_2^n\chi _{\mathrm{\Delta }^2D}(x_1,x_2))^{}\right)𝔏_m,m,$$

provided we show that $`\{I^{(2)}\left((s_1s_2^nf_k(x_1,x_2))^{}\right),k\}`$ is a Cauchy sequence in each $`L^{2m}(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })`$, $`m`$. But this can be easily derived, analogously to (3.13), by using the formula which expresses a product of arbitrary multiple stochastic integrals with respect to the centered Poisson process through a corresponding sum of multiple stochastic integrlas, see e.g. \[26, Theorem 3\] or . $`\mathrm{}`$

###### Theorem 3.1

We may define a unitary operator

$$𝒰:L^2(\stackrel{~}{\mathrm{\Gamma }}_{\times X};\pi _{\nu \sigma })L^2(𝒟^{};\rho _{\nu ,\sigma })$$

by setting

$$𝒰1:=1,𝒰\left(I^{(1)}(s\phi _1(x))\mathrm{}I^{(1)}(s\phi _n(x))\right):=,\phi _1\mathrm{},\phi _n,$$

$$\phi _1,\mathrm{},\phi _n𝒟,n.$$

Furthermore, by setting $`𝒥:=𝒰I`$, we get a unitary operator

$$(L^2(\times X;\nu \sigma ))g=(g_n)_{n=0}^{\mathrm{}}𝒥g=\underset{n=0}{\overset{\mathrm{}}{}}𝒥^{(n)}(g_n)L^2(𝒟^{};\rho _{\nu ,\sigma }),$$

$`𝒥^{(n)}`$ denoting the restriction of $`𝒥`$ to $`L^2(\times X;\nu \sigma )^{\widehat{}n}`$.

Proof. The theorem trvially follows from Lemmas 3.13.3. $`\mathrm{}`$

###### Remark 3.1

Evidently, in the case where (2.3) holds, the unitary $`𝒥`$ coincides with the operator $`J`$ as in (3.3) up to the unitary transformation connected with the centering of the measure.

## 4 The Nualart–Schoutens chaotic decomposition for a Lévy processes

In this section, we will generalize the result of Nualart and Schoutens  (see also \[31, Section 5.4\]) concerning a chaotic decomposition for a usual Lévy process on $``$ to the case of a Lévy process on the manifold $`X`$.

We introduce polynomials

$$P_n(s)=s^n+a_{n,n1}s^{n1}+a_{n,n2}s^{n2}+\mathrm{}+a_{n,1}s,a_{n,i},i=1,\mathrm{},n1,n,$$
(4.1)
in such a way that

$$_{}P_n(s)P_m(s)\nu (ds)=0\text{if }nm.$$

Using unitary (3.10), we see that

$$P_n(s)=\stackrel{~}{P}_{n1}(s)s,$$
(4.2)
where $`(\stackrel{~}{P}_n())_{n=0}^{\mathrm{}}`$ is the system of polynomials with leading coefficient 1 that are orthogonal with respect to the measure $`\stackrel{~}{\nu }(ds)`$ on $``$. We also evidently have that $`(P_n())_{n=1}^{\mathrm{}}`$ is a total system in $`L^2(;\nu )`$. Then, by Theorem 3.1, the system of the random variables consisting of the constants $`𝒥^{(0)}(f_0)`$, $`f_0`$, and

$$𝒥^{(n)}\left((P_{k_1}(s_1)\mathrm{}P_{k_n}(s_n)f_n(x_1,\mathrm{},x_n))^{}\right),k_1,\mathrm{},k_n,f_nL^2(X;\sigma )^n,n,$$

is total in $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$.

Denote by $`_{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$ the set of all sequences $`\alpha `$ of the form $`\alpha =(\alpha _1,\alpha _2,\mathrm{},\alpha _n,0,0,\mathrm{})`$, $`\alpha _i_+`$, $`n`$. Let $`|\alpha |:=_{i=1}^{\mathrm{}}\alpha _i`$, evidently $`|\alpha |_+`$. For $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, denote

$$P_\alpha (s_1,\mathrm{},s_{|\alpha |}):=\underset{\alpha _1\text{ times}}{\underset{}{P_1(s_1)\mathrm{}P_1(s_{\alpha _1})}}\underset{\alpha _2\text{ times}}{\underset{}{P_2(s_{\alpha _1+1})\mathrm{}P_2(s_{\alpha _1+\alpha _2})}}\mathrm{}$$

if $`|\alpha |`$, and $`P_\alpha (s_1,\mathrm{},s_{|\alpha |}):=1`$ if $`|\alpha |=0`$. We then see that the system of the random variables

$$^\alpha (f_\alpha ):=𝒥^{(|\alpha |)}\left((P_\alpha (s_1,\mathrm{},s_{|\alpha |})f_\alpha (x_1,\mathrm{},x_{|\alpha |}))^{}\right),$$

$$f_\alpha L^2(X;\sigma )^{|\alpha |},\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}},$$

is total in $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$. Furthermore, the $`^\alpha ()`$’s are pair-wisely orthogonal in $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$ for different $`\alpha `$’s.

Let

$$S_n:L^2(\times X;\nu \sigma )^nL_{\mathrm{s}ym}^2((\times X)^n;(\nu \sigma )^n):=L^2(\times X;\nu \sigma )^{\widehat{}n}$$

denote the symmetrization projection. For $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`|\alpha |=:n`$, denote by

$$L_\alpha ^2((\times X)^n;(\nu \sigma )^n)$$

the subspace of $`L^2(\times X;\nu \sigma )^n`$ consisting of those functions $`g_n(s_1,x_1,\mathrm{},s_n,x_n)`$ in $`L^2(\times X;\nu \sigma )^n`$ which satisfy

$$g_n(s_1,x_1,\mathrm{},s_n,x_n)=g_n(s_{\pi (1)},x_{\pi (1)},\mathrm{},s_{\pi (n)},x_{\pi (n)})$$

for $`(\nu \sigma )^n`$-a.e. $`(s_1,x_1,\mathrm{},s_n,x_n)(\times X)^n`$ for any permutation $`\pi `$ of $`\{1,\mathrm{},n\}`$ such that

$$P_\alpha (s_1,\mathrm{},s_n)=P_\alpha (s_{\pi (1)},\mathrm{},s_{\pi (n)})\text{for all }(s_1,\mathrm{},s_n)^n.$$
(4.3)
Evidently,

$$L_\alpha ^2((\times X)^n;(\nu \sigma )^n)=L^2(\times X;\nu \sigma )^{\widehat{}\alpha _1}L^2(\times X;\nu \sigma )^{\widehat{}\alpha _2}\mathrm{}.$$

Let

$$S_\alpha :L^2(\times X;\nu \sigma )^nL_\alpha ^2((\times X)^n;(\nu \sigma )^n)$$

denote the orthogonal projection onto $`L_\alpha ^2((\times X)^n;(\nu \sigma )^n)`$. Since

$$L_{\mathrm{s}ym}^2((\times X)^n;(\nu \sigma )^n)L_\alpha ^2((\times X)^n;(\nu \sigma )^n),$$

we get $`S_n=S_nS_\alpha `$. Next, for each $`f_nL^2(X;\sigma )^n`$, we get by (4.3)

$$S_\alpha (P_\alpha (s_1,\mathrm{},s_n)f_n(x_1,\mathrm{},x_n))=P_\alpha (s_1,\mathrm{},s_n)(𝒮_\alpha f_n)(x_1,\mathrm{},x_n),$$

where $`𝒮_\alpha `$ is the orthogonal projection of $`L^2(X;\sigma )^n`$ onto the subspace $`L_\alpha ^2(X^n;\sigma ^n)`$ consisting of those functions $`f_nL^2(X;\sigma )^n`$ which satisfy

$$f_n(x_1,\mathrm{},x_n)=f_n(x_{\pi (1)},\mathrm{},x_{\pi (n)})$$

for $`\sigma ^n`$-a.e. $`(x_1,\mathrm{},x_n)X^n`$ for any permutation $`\pi `$ of $`\{1,\mathrm{},n\}`$ fulfilling (4.3).

Consider the operator

$$L_\alpha ^2(X^n;\sigma ^n)f_nS_n(P_\alpha (s_1,\mathrm{},s_n)f_n(x_1,\mathrm{},x_n))L_{\mathrm{s}ym}^2((\times X)^n;(\nu \sigma )^n).$$

A direct computation shows that

$$S_n(P_\alpha (s_1,\mathrm{},s_n)f_n(x_1,\mathrm{},x_n))_{L_{\mathrm{s}ym}^2((\times X)^n;(\nu \sigma )^n)}^2=\frac{\alpha _1!\alpha _2!\mathrm{}}{n!}C_\alpha f_n_{L_\alpha ^2(X^n;\sigma ^n)}^2,$$

where $`0!:=1`$ and

$$C_\alpha :=P_1_{L^2(;\nu )}^{2\alpha _1}P_2_{L^2(;\nu )}^{2\alpha _2}\mathrm{}.$$
(4.4)
Thus, by virtue of (3.1) and the definition of $`^\alpha ()`$, we have the following

###### Lemma 4.1

For each $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`|\alpha |=:n`$, and for each $`f_nL^2(X;\sigma )^n`$, we have

$$^\alpha (f_n)=^\alpha (𝒮_\alpha f_n).$$

Furthermore, the mapping

$$L_\alpha ^2(X^n;\sigma ^n)f_n^\alpha (f_n)L^2(𝒟^{};\rho _{\nu ,\sigma })$$
(4.5)
is up to a constant factor an isometry; more exactly, for each $`f_nL_\alpha ^2(X^n;\sigma ^n)`$

$$^\alpha (f_n)_{L^2(𝒟^{};\rho _{\nu ,\sigma })}^2=\alpha _1!\alpha _2!\mathrm{}C_\alpha f_n_{L_\alpha ^2(X^n;\sigma ^n)}^2,$$

where $`C_\alpha `$ is given by (4.4).

For each $`m`$, we define a random measure $`𝐗^{(m)}`$ on $`X`$ by setting, for each $`\mathrm{\Delta }𝒪_c(X)`$,

$$𝐗^{(m)}(\mathrm{\Delta }):=𝒰(𝒳^{(m)}(\mathrm{\Delta }))=𝒥^{(1)}(s^m\chi _\mathrm{\Delta }(x)).$$
(4.6)
Notice that, if (2.3) holds, we have for each $`\omega =_ns_n\delta _{x_n}\mathrm{\Omega }(X)`$

$$𝐗^{(m)}(\mathrm{\Delta },\omega )=\underset{n}{}s_n^m\delta _{x_n},\chi _\mathrm{\Delta }_{}s^m\nu (ds)\sigma (\mathrm{\Delta }).$$

In , in the case $`X=`$, the $`𝐗^{(m)}`$, $`m`$, was called a Teugels martingale of order $`m`$. Let

$$𝐘^{(m)}(\mathrm{\Delta }):=𝒥^{(1)}(P_m(s)\chi _\mathrm{\Delta }(x)),\mathrm{\Delta }𝒪_c(X).$$

By (4.1),

$$𝐘^{(m)}(\mathrm{\Delta })=𝐗^{(m)}(\mathrm{\Delta })+a_{m,m1}𝐗^{(m1)}(\mathrm{\Delta })+\mathrm{}+a_{m,\mathrm{\hspace{0.17em}1}}𝐗^{(1)}(\mathrm{\Delta }).$$

###### Lemma 4.2

Let $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`|\alpha |=:n`$. For each $`f_nL^2(X^n;\sigma ^n)`$, $`^\alpha (f_n)`$ coincides with the multiple stochastic integral

$$_{X^n}f_n(x_1,\mathrm{},x_n)𝑑𝐘^{(1)}(x_1)\mathrm{}𝑑𝐘^{(1)}(x_{\alpha _1})𝑑𝐘^{(2)}(x_{\alpha _1+1})\mathrm{}𝑑𝐘^{(2)}(x_{\alpha _1+\alpha _2})\mathrm{}.$$

Proof. For any disjoint $`\mathrm{\Delta }_1,\mathrm{},\mathrm{\Delta }_n𝒪_c(X)`$, we have by the definition of a multiple stochastic integral

$$_{X^n}\chi _{\mathrm{\Delta }_1}(x_1)\mathrm{}\chi _{\mathrm{\Delta }_n}(x_n)𝑑𝐘^{(1)}(x_1)\mathrm{}𝑑𝐘^{(1)}(x_{\alpha _1})𝑑𝐘^{(2)}(x_{\alpha _1+1})\mathrm{}𝑑𝐘^{(2)}(x_{\alpha _1+\alpha _2})\mathrm{}$$

$$=𝒥^{(1)}(\mathrm{\Delta }_1)\mathrm{}𝒥^{(1)}(\mathrm{\Delta }_{\alpha _1})𝒥^{(2)}(\mathrm{\Delta }_{\alpha _1+1})\mathrm{}𝒥^{(2)}(\mathrm{\Delta }_{\alpha _1+\alpha _2})\mathrm{}.$$
(4.7)
It follows from Theorem 3.1 and the construction of a multiple stochastic integral with respect to the centered Poisson process that

$$𝒰^1\left(𝒥^{(1)}(\mathrm{\Delta }_1)\mathrm{}𝒥^{(1)}(\mathrm{\Delta }_{\alpha _1})𝒥^{(2)}(\mathrm{\Delta }_{\alpha _1+1})\mathrm{}𝒥^{(2)}(\mathrm{\Delta }_{\alpha _1+\alpha _2})\mathrm{}\right)$$

$$=I^{(1)}\left(P_1(s)\chi _{\mathrm{\Delta }_1}(x)\right)\mathrm{}I^{(1)}\left(P_1(s)\chi _{\mathrm{\Delta }_{\alpha _1}}(x)\right)$$

$$\times I^{(1)}\left(P_2(s)\chi _{\mathrm{\Delta }_{\alpha _1+1}}(x)\right)\mathrm{}I^{(1)}\left(P_2(s)\chi _{\mathrm{\Delta }_{\alpha _1+\alpha _2}}(x)\right)\mathrm{}$$

$$=I^{(n)}\left((P_\alpha (s_1,\mathrm{},s_n)\chi _{\mathrm{\Delta }_1}(x_1)\mathrm{}\chi _{\mathrm{\Delta }_n}(x_n))^{}\right).$$

Therefore,

$$𝒥^{(1)}(\mathrm{\Delta }_1)\mathrm{}𝒥^{(1)}(\mathrm{\Delta }_{\alpha _1})𝒥^{(2)}(\mathrm{\Delta }_{\alpha _1+1})\mathrm{}𝒥^{(2)}(\mathrm{\Delta }_{\alpha _1+\alpha _2})\mathrm{}=^\alpha (\chi _{\mathrm{\Delta }_1}\mathrm{}\chi _{\mathrm{\Delta }_n}).$$
(4.8)
By (4.7) and (4.8), we have proved the statement for $`f_n=\chi _{\mathrm{\Delta }_1}\mathrm{}\chi _{\mathrm{\Delta }_n}`$. Since the set of linear combinations of the functions $`\chi _{\mathrm{\Delta }_1}\mathrm{}\chi _{\mathrm{\Delta }_n}`$ with $`\mathrm{\Delta }_1,\mathrm{},\mathrm{\Delta }_n𝒪_c(X)`$ disjoint is dense in $`L^2(X;\sigma )^n`$, we get the statement by the linearity and continuity of the mapping

$$L^2(X;\sigma )^nf_n^\alpha (f_n)L^2(𝒟^{};\rho _{\nu ,\sigma })$$

(see Lemma 4.1). $`\mathrm{}`$

In what follows, we set $`L_\alpha ^2(X^{|\alpha |};\sigma ^{|\alpha |}):=`$ for $`|\alpha |=0`$.

###### Theorem 4.1

Each $`FL^2(𝒟^{};\rho _{\nu ,\sigma })`$ may be uniquely represented as a sum of multiple stochastic integrals

$$F=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}}{}^\alpha (f_\alpha ),f_\alpha L_\alpha ^2(X^{|\alpha |};\sigma ^{|\alpha |}),$$

and

$$^\alpha (f_\alpha )=_{X^{|\alpha |}}f_\alpha (x_1,\mathrm{},x_{|\alpha |})𝑑𝐘^{(1)}(x_1)\mathrm{}𝑑𝐘^{(1)}(x_{\alpha _1})𝑑𝐘^{(2)}(x_{\alpha _1+1})\mathrm{}𝐘^{(2)}(x_{\alpha _1+\alpha _2})\mathrm{}$$

for $`|\alpha |`$ and $`^\alpha (f_\alpha )=f_\alpha `$ for $`|\alpha |=0`$. Furthermore,

$$F_{L^2(𝒟^{};\rho _{\nu ,\sigma })}^2=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}}{}\alpha _1!\alpha _2!\mathrm{}C_\alpha f_\alpha _{L^2(X^n;\sigma ^n)}^2,$$

where $`C_\alpha `$ is given by (4.4).

Proof. The statement follows by Theorem 3.1 and Lemmas 4.1, 4.2. $`\mathrm{}`$

We define a Hilbert space

$$𝐇:=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}}{}𝐇_\alpha ,𝐇_\alpha :=L_\alpha ^2(X^{|\alpha |};\sigma ^{|\alpha |})\alpha _1!\alpha _2!\mathrm{}C_\alpha .$$
(4.9)
As a trivial consequence of Theorem 4.1, we get

###### Corollary 4.1

We have the unitary operator

$$𝐇f=(f_\alpha )_{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}}f:=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}}{}^\alpha (f_\alpha )L^2(𝒟^{};\rho _{\nu ,\sigma }).$$

For each $`\phi 𝒟`$, we have $`,\phi =^{(1,0,0,\mathrm{})}(\phi )`$ $`\rho _{\nu ,\sigma }`$-a.e., and hence, we define $`,\phi L^2(𝒟^{};\rho _{\nu ,\sigma })`$ for any $`\phi L^2(X;\sigma )`$ as $`^{(1,0,0,\mathrm{})}(\phi )`$. We will now obtain a formula for the multiplication of a multiple stochastic integral $`^\alpha (f_\alpha )`$, $`f_\alpha L_\alpha ^2(X^{|\alpha |};\sigma ^{|\alpha |})`$, by a random variable $`,\phi `$ (compare with formulas (3.5)–(3.8) in the Poisson case).

By the Favard theorem, the system of orthogonal polynomials $`(\stackrel{~}{P}_n)_{n=0}^{\mathrm{}}`$ (see (4.2)) fulfills the recurrence formula

$$s\stackrel{~}{P}_n(s)=\stackrel{~}{P}_{n+1}(s)+a_n\stackrel{~}{P}_n(s)+b_n\stackrel{~}{P}_{n1}(s),n_+,\stackrel{~}{P}_1(s):=0,$$

with real numbers $`a_n`$ and positive numbers $`b_n`$. Using unitary (3.10), we then get

$$sP_n(s)=P_{n+1}(s)+a_{n1}P_n(s)+b_{n1}P_{n1}(s),n,P_0(s):=0.$$
(4.10)
For $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$ and $`n`$, we denote

$$\alpha \pm 1_n:=(\alpha _1,\mathrm{},\alpha _{n1},\alpha _n\pm 1,\alpha _{n+1},\mathrm{}),$$

and let $`_\alpha (f_\alpha ):=0`$ if $`\alpha _n<0`$ for some $`n`$.

###### Corollary 4.2

Let $`\phi L^1(X;\sigma )L^{\mathrm{}}(X;\sigma )`$. Then, for any $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`|\alpha |=:n`$, and any $`f_\alpha L_\alpha ^2(X;\sigma )^n`$, we have

$$,\phi ^\alpha (f_\alpha )=^{\alpha +1_1}\left(𝒮_{\alpha +1_1}(\phi (x_1)f_\alpha (x_2,\mathrm{},x_{n+1}))\right)$$

$$+\frac{\alpha _1!(n\alpha _1)!}{(n1)!}_{}s^2\nu (ds)^{\alpha 1_1}\left(𝒮_{\alpha 1_1}\left(_X\phi (x)f_\alpha (x,x_1,\mathrm{},x_{n1})\sigma (dx)\right)\right)$$

$$+\underset{n1}{}\alpha _n[^{\alpha 1_n+1_{n+1}}\left(𝒮_{\alpha 1_n+1_{n+1}}(\phi (x_{\alpha _1+\mathrm{}+\alpha _n})f_\alpha (x_1,\mathrm{},x_n))\right)$$

$$+a_{n1}^\alpha \left(𝒮_\alpha (\phi (x_{\alpha _1+\mathrm{}+\alpha _n})f_\alpha (x_1,\mathrm{},x_n))\right)$$

$$+b_{n1}^{\alpha +1_{n1}1_n}\left(𝒮_{\alpha +1_{n1}1_n}(\phi (x_{\alpha _1+\mathrm{}+\alpha _n})f_\alpha (x_1,\mathrm{},x_n))\right)].$$
(4.11)
Proof. The corollary easily follows from the definition of $`^\alpha ()`$, Lemma 4.1, (3.5)–(3.8), and (4.10). $`\mathrm{}`$

## 5 Orthogonalization of continuous polynomials

We denote by $`𝒫(𝒟^{})`$ the set of continuous polynomials on $`𝒟^{}`$, i.e., functions on $`𝒟^{}`$ of the form

$$F(\omega )=\underset{i=0}{\overset{n}{}}\omega ^i,f_i,\omega ^{\widehat{}0}:=1,f_i𝒟^{\widehat{}i},i=0,\mathrm{},n,n_+.$$

The greatest number $`i`$ for which $`f^{(i)}0`$ is called the power of a polynomial. We evidently have $`𝒫_{\mathrm{c}yl}(𝒟^{})𝒫(𝒟^{})`$. We denote by $`𝒫_n(𝒟^{})`$ the set of continuous polynomials of power $`n`$.

By \[33, Sect. 11\], $`𝒫(𝒟^{})`$ is a dense subset of $`L^2(𝒟^{};\rho _{\nu \sigma })`$. Let $`𝒫_n^{}(𝒟^{})`$ denote the closure of $`𝒫_n(𝒟^{})`$ in $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$, let $`𝐏_n(𝒟^{})`$, $`n`$, denote the orthogonal difference $`𝒫_n^{}(𝒟^{})𝒫_{n1}^{}(𝒟^{})`$, and let $`𝐏_0(𝒟^{}):=𝒫_0^{}(𝒟^{})`$.

###### Theorem 5.1

We have the orthogonal decomposition

$$L^2(𝒟^{};\rho _{\nu ,\sigma })=\underset{n=0}{\overset{\mathrm{}}{}}𝐏_n(𝒟^{}),$$
(5.1)
and furthermore,

$$𝐏_n(𝒟^{})=𝐇_n,$$
(5.2)
where

$$𝐇_n:=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}𝐇_\alpha ,n_+.$$
(5.3)
Proof. The orthogonal decomposition (5.1) is clear, so we have to prove (5.2), (5.3), or equivalently

$$𝒫_n^{}(𝒟^{})=\underset{i=0}{\overset{n}{}}𝐇_i=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:1\alpha _1+2\alpha _2+\mathrm{}n}{}𝐇_\alpha .$$
(5.4)
Fix any $`\phi 𝒟`$ and consider the continuous polynomial $`,\phi ^n`$. Since $`𝒥^1(,\phi ^n)=A(s\phi (x))^n\mathrm{\Omega }`$, we conclude, using formulas (3.5)–(3.8), that

$$,\phi ^n\underset{i=0}{\overset{n}{}}𝐇_i.$$
(5.5)
Since the Laplace transform of the measure $`\rho _{\nu ,\sigma }`$ is analytic in a neighborhood of zero in $`𝒟_{}`$, by \[23, Lemma 3.9\], there exist $`\tau T`$ and $`\epsilon _\tau >0`$ such that

$$_𝒟^{}\mathrm{exp}\left(\epsilon _\tau \omega _\tau \right)\rho _{\nu ,\sigma }(d\omega )<\mathrm{},$$

where $`_\tau `$ denotes the norm in the Hilbert space $`_\tau `$. Therefore,

$$_𝒟^{}\omega _\tau ^n\rho _{\nu ,\sigma }(d\omega )<\mathrm{},n,$$

which yields the continuity of the mapping

$$_\tau ^{\widehat{}n}f_n^n,f_nL^2(𝒟^{};\rho _{\nu ,\sigma })$$
(5.6)
for each $`n`$. Therefore, any polynomial $`^n,f_n`$, $`f_n𝒟^{\widehat{}n}`$, can be approximated in the $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$ norm by linear combinations of polynomials of the form $`,\phi ^n`$, $`\phi 𝒟`$. Since $`_{i=0}^n𝐇_i`$ is a linear closed subspace of $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$, (5.5) implies the inclusion $`𝒫_n^{}(𝒟^{})_{i=0}^n𝐇_i`$.

Let us prove the inverse inclusion $`_{i=0}^n𝐇_i𝒫_n^{}(𝒟^{})`$. It suffices to show that, for each $`f_mL^2(X;\sigma )^m`$, $`m\{1,\mathrm{},n\}`$,

$$𝒥^{(m)}\left((s_1^{k_1}\mathrm{}s_m^{k_m}f_m(x_1,\mathrm{},x_m))^{}\right)𝒫_n^{}(𝒟^{}),k_1,\mathrm{},k_m,k_1+\mathrm{}+k_m=n.$$

Analogously to the proof of Lemma 4.2, we get

$$𝒥^{(m)}\left((s_1^{k_1}\mathrm{}s_m^{k_m}f_m(x_1,\mathrm{},x_m))^{}\right)=_{X^m}f_m(x_1,\mathrm{},x_m)𝑑𝐗^{(k_1)}(x_1)\mathrm{}𝑑𝐗^{(k_m)}(x_m),$$

where the random measures $`𝐗^{(i)}`$, $`i`$, are defined by (4.6). Therefore, it is enough to prove that, for any disjoint $`\mathrm{\Delta }_1,\mathrm{},\mathrm{\Delta }_m𝒪_c(X)`$,

$$𝐗^{(k_1)}(\mathrm{\Delta }_1)\mathrm{}𝐗^{(k_m)}(\mathrm{\Delta }_m)𝒫_n^{}(𝒟^{}),k_1+\mathrm{}+k_m=n.$$
(5.7)
But it follows from Theorem 3.1 and the Claim from the proof of Lemma 3.3 that, for any $`m,n`$ and any $`\mathrm{\Delta }𝒪_c(X)`$,

$$𝐗^{(n)}(\mathrm{\Delta })𝒫_n^m(𝒟^{}),$$
(5.8)
where $`𝒫_n^m(𝒟^{})`$ denotes the closure of $`𝒫_n(𝒟^{})`$ in $`L^{2m}(𝒟^{};\rho _{\nu ,\sigma })`$. Finally, (5.8) implies (5.7). $`\mathrm{}`$

For a monomial $`^n,f_n`$, $`f_n𝒟^{\widehat{}n}`$, we denote by $`:^n,f_n:`$ the orthogonal projection of $`^n,f_n`$ onto $`𝐏_n(𝒟^{})`$. Since for each monomial $`^k,f_k`$, $`f_k𝒟^{\widehat{}k}`$, with $`k<n`$, the projection of $`^k,f_k`$ onto $`𝐏_n(𝒟^{})`$ equals zero, the set $`\{:^n,f_n:,f_n𝒟^{\widehat{}n}\}`$ is dense in $`𝐏_n(𝒟^{})`$. Our next aim is to find an explicit representation of $`:^n,f_n:`$ through multiple stochastic integrals $`^\alpha ()`$’s.

For each $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`1\alpha _1+2\alpha _2+\mathrm{}=n`$, $`n`$, and for any function $`f_n:X^n`$ we define a function $`D_\alpha f_n:X^{|\alpha |}`$ by setting

$`(D_\alpha f_n)(x_1,\mathrm{},x_{|\alpha |}):=`$ $`f(x_1,\mathrm{},x_{\alpha _1},\underset{\text{2 times }}{\underset{}{x_{\alpha _1+1},x_{\alpha _1+1}}},\underset{\text{2 times }}{\underset{}{x_{\alpha _1+2},x_{\alpha _1+2}}},\mathrm{},\underset{\text{2 times }}{\underset{}{x_{\alpha _1+\alpha _2},x_{\alpha _1+\alpha _2}}},`$
$`\underset{\text{3 times }}{\underset{}{x_{\alpha _1+\alpha _2+1},x_{\alpha _1+\alpha _2+1},,x_{\alpha _1+\alpha _2+1}}},\mathrm{}).`$ (5.9)
###### Corollary 5.1

For each $`f_n𝒟^{\widehat{}n}`$, $`n`$, we have

$$:^n,f_n:=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}R_\alpha ^\alpha (D_\alpha f_n),$$
(5.10)
where

$$R_\alpha =\frac{n!}{\alpha _1!(1!)^{\alpha _1}\alpha _2!(2!)^{\alpha _2}\alpha _3!(3!)^{\alpha _3}\mathrm{}}.$$
(5.11)
###### Remark 5.1

The $`R_\alpha `$ given by (5.11) describes the number of all possible partitions of a set consisting of $`n`$ elements into $`\alpha _1`$ sets containing one element, $`\alpha _2`$ sets containing 2 elements, and so forth.

Proof. Suppose that $`f_n=\phi ^n`$, $`\phi 𝒟`$. We have

$$𝒰^1(,\phi ^n)=I^{(1)}(s\phi (x))^n.$$
(5.12)
By using \[26, Theorem 2\] or , we express the right hand side of (5.12) as a sum of multiple stochastic integrals with respect to the centered Poisson process:

$$\begin{array}{c}I^{(1)}(s\phi (x))^n\hfill \\ \hfill =\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}R_\alpha I^{(|\alpha |)}\left((s_1\mathrm{}s_{\alpha _1}s_{\alpha _1+1}^2\mathrm{}s_{\alpha _1+\alpha _2}^2\mathrm{}(D_\alpha \phi ^n)(x_1,\mathrm{},x_{|\alpha |}))^{}\right)+G_\alpha ,\end{array}$$
(5.13)
where

$$G_\alpha \underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}n1}{}𝒰^1𝐇_\alpha .$$
(5.14)
By (4.1), $`P_k(s)s^k`$ is a polynomial of order $`k1`$, which yields by (5.13),

$$I^{(1)}(s\phi (x))^n=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}R_\alpha I^{(|\alpha |)}\left((P_\alpha (s_1,\mathrm{},s_{|\alpha |})(D_\alpha \phi ^n)(x_1,\mathrm{},x_{|\alpha |}))^{}\right)+G_\alpha ^{},$$
(5.15)
where $`G_\alpha ^{}`$ also belongs to the space from (5.14). By (5.12), (5.15), and Theorem 5.1, we get (5.10) for $`f_n=\phi ^n`$.

Next, by the continuity of the mapping (5.6), we conclude that each mapping

$$_\tau ^{\widehat{}n}f_n:^n,f_n:L^2(𝒟^{};\rho _{\nu ,\sigma })$$
(5.16)
is also continuous. Let us fix $`n`$. Without loss of generality, we can suppose that, for all $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`1\alpha _1+2\alpha _2+\mathrm{}=n`$, the mapping

$$_\tau ^{\widehat{}n}f_nD_\alpha f_nL^2(X;\sigma )^{|\alpha |}$$

is continuous. Now, the formula (5.10) in the general case follows by an approximation of $`f_n𝒟^{\widehat{}n}`$ by linear combinations of functions of the form $`\phi ^n`$, $`\phi 𝒟`$, in the $`_\tau ^{\widehat{}n}`$ norm. $`\mathrm{}`$

###### Corollary 5.2

For any $`f_n,g_n𝒟^{\widehat{}n}`$, $`n`$, we have

$$_𝒟^{}:\omega ^n,f_n::\omega ^n,g_n:\rho _{\nu ,\sigma }(d\omega )$$

$$=n!\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}K_\alpha _{X^{|\alpha |}}(D_\alpha f_n)(x_1,\mathrm{},x_{|\alpha |})$$

$$\times (D_\alpha g_n)(x_1,\mathrm{},x_{|\alpha |})\sigma ^{|\alpha |}(dx_1,\mathrm{},dx_{|\alpha |}),$$
(5.17)
where

$$K_\alpha =\frac{n!}{\alpha _1!\alpha _2!\mathrm{}}\underset{k1}{}\left(\frac{P_k_{L^2(;\nu )}}{k!}\right)^{2\alpha _k}.$$
(5.18)
Proof. The corollary follows directly from Theorem 4.1 and Corollary 5.1. $`\mathrm{}`$

Analogously to (5.3), we define, for each $`n_+`$, a Hilbert space

$$𝔉_n:=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}𝔉_{n,\alpha },𝔉_{n,\alpha }:=L_\alpha ^2(X^{|\alpha |};\sigma ^{|\alpha |})K_\alpha .$$
(5.19)
For each $`n`$, we define a mapping

$$𝒟^{\widehat{}n}f_n_nf_n𝔉_n$$

by setting

$$(_nf_n)_\alpha :=D_\alpha f_n,\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n,$$

where $`()_\alpha `$ denotes the $`𝔉_{n,\alpha }`$-component of an element of $`𝔉_n`$. Since $`\{:^{\widehat{}n},f_n:,f_n𝒟^{\widehat{}n}\}`$, is a dense subset of $`𝐏_n(𝒟^{})`$, we get by Theorem 5.1 and Corollaries 5.1 and 5.2 that $`_n𝒟^{\widehat{}n}`$ is a dense subset of $`𝔉_n`$. In what follows, for simplicity of notations, we will just write $`f_n`$ instead of $`_nf_n`$, considering, in this way, $`𝒟^{\widehat{}n}`$ as a dense subset of $`𝔉_n`$ (evidently $`f_n=g_n`$ in $`𝒟^{\widehat{}n}`$ if and only if $`f_n=g_n`$ in $`𝔉_n`$).

Let

$$𝔉:=\underset{n=0}{\overset{\mathrm{}}{}}𝔉_nn!,𝔉_0:=.$$

There evidently exists a unitary operator $`𝒜:𝐇𝔉`$ which acts between any $`𝐇_\alpha `$\- and $`𝔉_\alpha `$-component of the space $`𝐇`$, respectively $`𝔉`$ as a constant (depending on $`\alpha `$) times the identity operator.

We evidently have the following

###### Corollary 5.3

We have the unitary operator

$$𝔘:𝔉L^2(𝒟^{};\rho _{\nu ,\sigma })$$

that is defined through

$$𝔘f_n:=:^n,f_n:,f_n𝒟^{\widehat{}n},n_+,$$

and then extended by linearity and continuity to the whole space $`𝔉`$. Furthermore,

$$𝔘=𝒜^1.$$

###### Remark 5.2

Using Theorem 5.1 and Corollaries 4.2, 5.1 one can explicitly identify the Jacobi filed of the measure $`\rho _{\nu ,\sigma }`$, that is, the family of commuting selfadjoint operators $`a(\phi )`$, $`\phi 𝒟`$, acting in the Hilbert space $`𝔉`$ and satisfying

$$𝔘a(\phi )𝔘^1=,\phi ,\phi 𝒟,$$

where $`,\phi `$ denotes the operator of multiplication by $`,\phi `$ in $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$. As easily seen, for each $`f_n𝒟^{\widehat{}n}`$, we have

$$a(\phi )f_n=a^+(\phi )f_n+a^0(\phi )f_n+a^{}(\phi )f_n,$$

where $`a^+(\phi )f_n𝔉_{n+1}`$, $`a^0(\phi )f_n𝔉_n`$, and $`a^{}(\phi )f_n𝔉_{n1}`$. Though we always have $`a^+(\phi )f_n=\phi \widehat{}f_n`$, i.e., $`a^+`$ is a usual creation operator, the structure of the neutral operator $`a^0(\phi )`$ and the annihilation operator $`a^{}(\phi )`$ is, in general, quite complicated. In the next section, we will consider a family of Lévy processes for which these operators have a much simpler form.

###### Remark 5.3

Let us suppose that (2.3) holds. For each $`n`$, we now define the random measure $`𝐘^{(n)}`$ on $`X`$ by setting, for each $`\mathrm{\Delta }𝒪_c(X)`$,

$$𝐘^{(n)}(\mathrm{\Delta }):=J^{(1)}(P_n(s)\chi _\mathrm{\Delta }(x)).$$

Then, as easily seen, all the results of Sections 4 and 5 remain true if we change $`L^2(𝒟^{};\rho _{\nu ,\sigma })`$ for the space $`L^2(\mathrm{\Omega }(X);\mu _{\nu ,\sigma })`$ and, in the formulation of Corollary 4.2 and Remark 5.2, $`,\phi `$ for $`:,\phi :`$.

## 6 Processes of Meixner’s type

In this section, we consider an application of the above results to the processes of Meixner’s type.

For each $`\lambda 0`$, let $`\stackrel{~}{\nu }_\lambda `$ denote the probability measure on $`(,())`$ whose orthogonal polynomials $`(\stackrel{~}{P}_{\lambda ,n})_{n=0}^{\mathrm{}}`$ with leading coefficient 1 satisfy the recurrence relation

$$s\stackrel{~}{P}_{\lambda ,n}(s)=\stackrel{~}{P}_{\lambda ,n+1}(s)+\lambda (n+1)\stackrel{~}{P}_{\lambda ,n}(s)+n(n+1)\stackrel{~}{P}_{\lambda ,n1}(s),$$
(6.1)
$$n_+,\stackrel{~}{P}_{\lambda ,1}(s):=0.$$

By  (see also \[12, Ch. VI, sect. 3\]), $`(\stackrel{~}{P}_{\lambda ,n})_{n=0}^{\mathrm{}}`$ is a system of polynomials of Meixner’s type, the measure $`\stackrel{~}{\nu }_\lambda `$ is uniquely determined by the above condition and is given as follows: For $`\lambda [0,2)`$,

$$\stackrel{~}{\nu }_\lambda (ds)=\frac{\sqrt{4\lambda ^2}}{2\pi }\times \left|\mathrm{\Gamma }\left(1+i(4\lambda ^2)^{1/2}s\right)\right|^2\mathrm{exp}\left[s2(4\lambda ^2)^{1/2}\mathrm{arctan}\left(\lambda (4\lambda ^2)^{1/2}\right)\right]ds$$

($`\stackrel{~}{\nu }_\lambda `$ is a Meixner distribution), for $`\lambda =2`$

$$\stackrel{~}{\nu }_2(ds)=\chi _{(0,\mathrm{})}(s)e^ssds$$

($`\stackrel{~}{\nu }_2`$ is a gamma distribution), and for $`\lambda >2`$

$$\stackrel{~}{\nu }_\lambda (ds)=(\lambda ^24)\underset{k=1}{\overset{\mathrm{}}{}}p_\lambda ^kk\delta _{\sqrt{\lambda ^24}k},p_\lambda :=\frac{\lambda \sqrt{\lambda ^24}}{\lambda +\sqrt{\lambda ^24}}$$

($`\stackrel{~}{\nu }_\lambda `$ is now a Pascal distribution).

Since $`\stackrel{~}{\nu }_\lambda (\{0\})=0`$ for each $`\lambda 0`$, we can define a Lévy measure $`\nu _\lambda `$ by setting

$$\nu _\lambda (ds):=\frac{1}{s^2}\stackrel{~}{\nu }_\lambda (ds),\lambda 0.$$

The integral $`_{}|s|\nu _\lambda (ds)`$ is finite for $`\lambda 2`$ and infinite for $`\lambda [0,2)`$. Therefore, we will consider, for each $`\lambda 2`$, the Lévy process with law $`\varrho _\lambda :=\mu _{\nu _\lambda ,\sigma }`$, and for $`\lambda [0,2)`$ the centered Lévy process with law $`\varrho _\lambda :=\rho _{\nu _\lambda ,\sigma }`$.

It follows from (6.1) that, for each $`\lambda 0`$,

$$\stackrel{~}{P}_{\lambda ,n}_{L^2(;\stackrel{~}{\nu }_\lambda )}^2=n!(n+1)!,n_+,$$

and hence

$$P_{\lambda ,n}_{L^2(;\nu _\lambda )}^2=(n1)!n!,n,$$
(6.2)
where $`P_{\lambda ,n}(s):=\stackrel{~}{P}_{\lambda ,n1}(s)s`$. By (5.18) and (6.2), we conclude that, for each $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`1\alpha _1+2\alpha _2+\mathrm{}=n`$,

$$K_\alpha =\frac{n!}{\alpha _1!\mathrm{\hspace{0.17em}1}^{\alpha _1}\alpha _2!\mathrm{\hspace{0.17em}2}^{\alpha _2}\mathrm{}}.$$
(6.3)
###### Remark 6.1

Let us give a combinatoric interpretation of the number $`K_\alpha `$ in (6.3). Under a loop $`\kappa `$ connecting points $`x_1,\mathrm{},x_m`$, $`m2`$, we understand a class of ordered sets $`(x_{\pi (1)},\mathrm{},x_{\pi (m)})`$, where $`\pi `$ is a permutation of $`\{1,\mathrm{},m\}`$, which coincide up to a cyclic permutation. Let us also interpret a set $`\{x\}`$ as a “one-point” loop $`\kappa `$, i.e., a loop that comes out of $`x`$. Let $`\vartheta _n=\{\kappa _1,\mathrm{},\kappa _{|\vartheta _n|}\}`$ be a collection of $`|\vartheta _n|`$ loops $`\kappa _j`$ that connect points from the set $`\{x_1,\mathrm{},x_n\}`$ so that every point $`x_i\{x_1,\mathrm{},x_n\}`$ goes into one loop $`\kappa _j=\kappa _{j(i)}`$ from $`\vartheta _n`$. Then, for $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`1\alpha _1+2\alpha _2+\mathrm{}=n`$, $`K_\alpha `$ is the number of all different collections of loops connecting points from the set $`\{x_1,\mathrm{},x_n\}`$ and containing $`\alpha _1`$ one-point loops, $`\alpha _2`$ two-point loops, etc.

In the following proposition, we will explicitly identify the Jacobi field $`a_\lambda (\phi )`$, $`\phi 𝒟`$, of the measure $`\varrho _\lambda `$ (see Remarks 5.2, 5.3).

###### Proposition 6.1

For each $`\lambda 0`$, we have for all $`\phi 𝒟`$ and all $`f_n𝒟^{\widehat{}n}`$, $`n_+`$,

$$a_\lambda (\phi )f_n=a^+(\phi )f_n+\lambda a^0(\phi )f_n+a^{}(\phi )f_n.$$

Here, $`a^+(\xi )`$ is the standard creation operator:

$$a^+(\phi )f_n:=\phi \widehat{}f_n,$$

$`a^0(\phi )`$ is the standard neutral operator:

$$\left(a^0(\phi )f_n\right)(x_1,\mathrm{},x_n)=\left(\phi (x_1)+\mathrm{}+\phi (x_n)\right)f_n(x_1,\mathrm{},x_n),n,a^0(\phi )f_0=0,$$

and $`a^{}(\phi )=a_1^{}(\phi )+a_2^{}(\phi )`$, where $`a_1^{}(\phi )`$ is the standard annihilation operator:

$$\left(a_1^{}(\phi )f_n\right)(x_1,\mathrm{},x_{n1})=n_X\phi (x)f_n(x,x_1,\mathrm{},x_{n1})\sigma (dx),n,a^0(\phi )f_0=0,$$

and

$$\left(a_2^{}(\phi )f_n\right)(x_1,\mathrm{},x_{n1})=n(n1)\left(\phi (x_1)f_n(x_1,x_1,x_2,x_3,\mathrm{},x_{n1})\right)^{},n2,$$

$$a_2^{}(\phi )f_i=0,i=0,1.$$

Proof. The proposition easily follows in the way described in Remark 5.2 (see also Remark 5.3) through formula (6.1). $`\mathrm{}`$

###### Corollary 6.1

For each $`\lambda 0`$ and $`\omega 𝒟^{}`$, define $`:\omega ^n:_\lambda 𝒟^{{}_{}{}^{}\widehat{}n}`$ by the recurrence formula

$$:\omega ^{(n+1)}:_\lambda =:\omega ^{n+1}:_\lambda (x_1,\mathrm{},x_{n+1})=(:\omega ^n:_\lambda (x_1,\mathrm{},x_n)\omega (x_{n+1}))^{}$$

$$n(:\omega ^{(n1)}:_\lambda (x_1,\mathrm{},x_{n1})\delta (x_{n+1}x_n))^{}$$

$$n(n1)(:\omega ^{(n1)}:_\lambda (x_1,\mathrm{},x_{n1})\delta (x_nx_{n1})\delta (x_{n+1}x_n))^{}$$

$$\lambda n(:\omega ^n:_\lambda (x_1,\mathrm{},x_n)\delta (x_{n+1}x_n))^{}c_\lambda (:\omega ^n:_\lambda (x_1,\mathrm{},x_n)1(x_{n+1}))^{},$$

$$:\omega ^0:_\lambda =1,:\omega ^1:_\lambda =\omega c_\lambda ,$$
(6.4)
where $`c_\lambda :=0`$ for $`\lambda [0,2)`$ and $`c_\lambda :=2/(\lambda +\sqrt{\lambda ^24})`$ for $`\lambda 2`$. Then, for each $`f_n𝒟^{\widehat{}n}`$, $`n`$,

$$:\omega ^n,f_n:=:\omega ^n:_\lambda ,f_n\varrho _\lambda \text{-a.e. }\omega 𝒟^{}.$$

Proof. Since $`_{}s\nu _\lambda (ds)=c_\lambda `$ for each $`\lambda 2`$, the statement trivially holds for $`n=1`$. Suppose the statement holds for all $`nm`$ and let us prove it for $`n=m+1`$. By Proposition 6.1, we then get for any sequence $`\{\phi _i,i\}𝒟`$

$$:\omega ^{(m+1)},\phi _i^{(m+1)}:=:\omega ^{(m+1)}:_\lambda ,\phi _i^{(m+1)}i,\varrho _\lambda \text{-a.e. }\omega 𝒟^{}.$$
(6.5)
There exist $`\tau _1,\tau _2T`$, $`\tau _2>\tau _1`$, such that $`\varrho _\lambda (_{\tau _1})=1`$, for each $`n\{2,\mathrm{},m+1\}`$ the mapping (5.16) with $`\tau =\tau _2`$ is continuous, and for each $`\omega _{\tau _1}`$ $`:\omega ^{(m+1)}:_\lambda _{\tau _2}^{\widehat{}(m+1)}`$. Choose $`\{\phi _i,i\}𝒟`$ which is a total set in $`_{\tau _2}`$. Approximate an arbitrary $`f_{m+1}𝒟^{\widehat{}(m+1)}`$ in the $`_{\tau _2}^{\widehat{}(m+1)}`$ topology by a sequence $`\{f_{m+1}^{(k)},k\}`$ such that each $`f_{m+1}^{(k)}`$ is a linear combination of functions $`\phi _i^{(m+1)}`$. Then, (6.5) implies the statement. $`\mathrm{}`$

By using (6.4) and , the following proposition was proved in  (see also  and \[31, Chs. 4, 5\]).

###### Proposition 6.2

The Fourier transform of the measure $`\varrho _\lambda `$ is given, in a neighborhood of zero, by the following formula: for $`\lambda =2`$

$$_𝒟^{}e^{i\omega ,\phi }𝑑\mu _2(\omega )=\mathrm{exp}\left[_X\mathrm{log}(1i\phi (x))\sigma (dx)\right],\phi 𝒟,\phi _{\mathrm{}}:=\underset{xX}{sup}|\phi (x)|<1,$$

and for $`\lambda 2`$

$$_𝒟^{}e^{i\omega ,\phi }𝑑\mu _\lambda (\omega )=\mathrm{exp}\left[\frac{1}{\alpha \beta }_X\mathrm{log}\left(\frac{\alpha e^{i\beta \phi (x)}\beta e^{i\alpha \phi (x)}}{\alpha \beta }\right)\sigma (dx)+ic_\lambda _X\phi (x)\sigma (dx)\right]$$

for all $`\phi 𝒟`$ satisfying

$$\frac{\alpha (e^{i\beta \phi }1)\beta (e^{i\alpha \phi }1)}{\alpha \beta }_{\mathrm{}}<1.$$

Here, $`\alpha ,\beta `$ are defined through the equation $`1+\lambda z+z^2=(1\alpha z)(1\beta z)`$, $`z`$. Furthermore, we have, for $`\lambda =2`$,

$$\underset{n=0}{\overset{\mathrm{}}{}}\frac{1}{n!}:\omega ^n:_2,\phi ^n=\mathrm{exp}[\mathrm{log}(1+\phi )+\omega ,\frac{\phi }{\phi +1}],$$
(6.6)
and for $`\lambda 2`$

$`{\displaystyle \underset{n=0}{\overset{\mathrm{}}{}}}{\displaystyle \frac{1}{n!}}:\omega ^n:_\lambda ,\phi ^n`$ $`=\mathrm{exp}[{\displaystyle \frac{1}{\alpha \beta }}\mathrm{log}\left({\displaystyle \frac{(1\beta \phi )^{1/\beta }}{(1\alpha \phi )^{1/\alpha }}}\right)`$
$`+{\displaystyle \frac{1}{\alpha \beta }}\omega c_\lambda ,\mathrm{log}\left({\displaystyle \frac{1\beta \phi }{1\alpha \phi }}\right)].`$ (6.7)
Formulas (6.7), (6.6) hold for each $`\omega (X)`$ and for each $`\phi 𝒟`$ satisfying $`\phi _{\mathrm{}}<1`$ for (6.6) and $`\phi _{\mathrm{}}<(\mathrm{max}(|\alpha |,|\beta |))^1`$ for (6.7). More generally, for each fixed $`\tau T`$, there exists a neighborhood of zero in $`𝒟`$ (depending on $`\lambda `$), denoted by $`𝒪_\tau `$, such that (6.7), respectively (6.6), holds for all $`\omega _\tau `$ and all $`\phi 𝒪_\tau `$.

As a direct corollary of this proposition, we get, for each $`\mathrm{\Delta }𝒪_c(X)`$, an explicit formula for the distribution of the random variable $`,\chi _\mathrm{\Delta }`$ under $`\varrho _\lambda `$.

###### Corollary 6.2 ()

For each $`\mathrm{\Delta }𝒪_c(X)`$, the distribution $`\varrho _{\lambda ,\mathrm{\Delta }}`$ of the random variable $`,\chi _\mathrm{\Delta }`$ under $`\varrho _\lambda `$ is given as follows: For $`\lambda >2`$, $`\varrho _{\lambda ,\mathrm{\Delta }}`$ is the negative binomial (Pascal) distribution

$$\varrho _{\lambda ,\mathrm{\Delta }}=(1p_\lambda )^{\sigma (\mathrm{\Delta })}\underset{k=0}{\overset{\mathrm{}}{}}\frac{\left(\sigma (\mathrm{\Delta })\right)_k}{k!}p_\lambda ^k\delta _{\sqrt{\lambda ^24}k},$$

where for $`r>0`$ $`(r)_0:=1`$, $`(r)_k:=r(r+1)\mathrm{}(r+k1)`$, $`k`$. For $`\lambda =2`$, $`\varrho _{2,\mathrm{\Delta }}`$ is the Gamma distribution

$$\varrho _{2,\mathrm{\Delta }}(ds)=\frac{s^{\sigma (\mathrm{\Delta })1}e^s}{\mathrm{\Gamma }(\sigma (\mathrm{\Delta }))}\chi _{(0,\mathrm{})}(s)ds.$$

Finally, for $`\lambda [0,2)`$,

$$\begin{array}{c}\varrho _{\lambda ,\mathrm{\Delta }}(ds)=\frac{(4\lambda ^2)^{(\sigma (\mathrm{\Delta })1)/2}}{2\pi \mathrm{\Gamma }(\sigma (\mathrm{\Delta }))}|\mathrm{\Gamma }(\sigma (\mathrm{\Delta })/2+i(4\lambda ^2)^{1/2}(s+\lambda \sigma (\mathrm{\Delta })/2)|^2\hfill \\ \hfill \times \mathrm{exp}\left[(2s+\lambda \sigma (\mathrm{\Delta }))(4\lambda ^2)^{1/2}\mathrm{arctan}\left(\lambda (4\lambda ^2)^{1/2}\right)\right]ds.\end{array}$$

Let us dwell upon a representation of the random measure $`𝐘^{(n)}`$, $`n`$, through $`:\omega ^n:_\lambda `$. We fix $`\mathrm{\Delta }𝒪_c(X)`$. We take a sequence $`\{\phi _k,k\}𝒟`$ such that the $`\phi _k`$’s are uniformly bounded, $`_k\mathrm{supp}\phi _k`$ is a precompact set in $`X`$, $`\phi _k(x)\chi _\mathrm{\Delta }(x)`$ as $`k\mathrm{}`$ for each $`xX`$, and a sequence $`\{\psi _k,k\}𝒟^n`$ such that $`\psi _k`$’s are uniformly bounded, $`_k\mathrm{supp}\psi _k`$ is a precompact set in $`X^n`$, and the $`\psi _k`$’s converge point-wisely to the indicator of the set $`\{(x_1,\mathrm{},x_n)B(x_0,r)^n:x_1=x_2=\mathrm{}=x_n\}`$ as $`k\mathrm{}`$. Here, $`B(x_0,r)`$ is a ball in $`X`$ such that $`\mathrm{\Delta }B(x_0,r)`$. We set $`G_k^{}(x_1,\mathrm{},x_n):=\left(\phi _k(x_1)\psi _k(x_1,\mathrm{},x_n)\right)^{}`$. Evidently,

$$G_k^{}(x_1,\mathrm{},x_n)\chi _\mathrm{\Delta }(x_1)\chi _{\{x_1=x_2=\mathrm{}=x_n\}}(x_1,x_2\mathrm{},x_n)\text{for each }(x_1,\mathrm{},x_n)X^n.$$

Then, by Corollary 5.1 and the majorized convergence theorem, we easily get

$$𝐘^{(n)}(\mathrm{\Delta })=\underset{k\mathrm{}}{lim}:^n:_\lambda ,G_k^{}\text{in }L^2(𝒟^{};\varrho _\lambda ),$$

and we informally write

$$𝐘^{(n)}(\mathrm{\Delta },\omega )=:\omega ^n:_\lambda (x_1,\mathrm{},x_n),\chi _\mathrm{\Delta }(x_1)\chi _{\{x_1=x_2=\mathrm{}=x_n\}}(x_1,x_2,\mathrm{},x_n).$$

Furthermore, by (6.4), $`:\omega ^n:_\lambda (X^n)`$ for each $`\omega \mathrm{\Omega }(X)`$. Therefore, in the case where $`\varrho _\lambda `$ is concentrated on $`\mathrm{\Omega }(X)`$, i.e., $`\lambda 2`$, using the majorized convergence theorem, we conclude from the above the following

###### Proposition 6.3

For each $`\vartheta _n(X^n)`$, $`n`$, define $`D_n\vartheta _n(X)`$ by setting, for each $`\mathrm{\Delta }_c(X)`$

$$D_n\vartheta _n(\mathrm{\Delta }):=\vartheta _n\left(\{(x_1,\mathrm{},x_m)X^n:x_1\mathrm{\Delta },x_1=x_2=\mathrm{}=x_n\}\right).$$

Let $`\lambda 2`$. Then, for each $`\mathrm{\Delta }𝒪_c(X)`$ and $`n`$,

$$𝐘^{(n)}(\mathrm{\Delta },\omega )=:\omega :_{n,\lambda }(\mathrm{\Delta })\text{for }\rho _\lambda \text{-a}\text{.}\text{e}\text{.}\text{ }\omega \mathrm{\Omega }(X),$$

where

$$:\omega :_{n,\lambda }:=D_n:\omega ^n:_\lambda .$$

###### Remark 6.2

Let $`\lambda 2`$ and $`\omega \mathrm{\Omega }(X)`$. As easily seen from (6.4), the $`:\omega :_{n,\lambda }`$’s satisfy the recurrence relation

$$:\omega :_{n+1,\lambda }=D_2(:\omega :_{n,\lambda }\omega )\lambda n:\omega :_{n,\lambda }n^2:\omega :_{n1,\lambda },n,$$

$$:\omega :_{0,\lambda }=\sigma ,:\omega :_{1,\lambda }=\omega c_\lambda \sigma ,$$

which is, of course, equivalent to the recurrence relation satisfied by the polynomials $`(P_{\lambda ,n})_{n=0}^{\mathrm{}}`$.

Finally, we will give a representation of the kernel of a multiple stochastic integral $`^\alpha (f_\alpha )`$ through $`:\omega ^n:_\lambda `$, where , $`n=\alpha _1+2\alpha _2+\mathrm{}`$. Just as in Proposition 6.3, we suppose that $`\lambda 2`$.

So, let us fix any $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`|\alpha |`$, and let $`n:=1\alpha _1+2\alpha _2+\mathrm{}`$. Let

$$\begin{array}{c}X_\alpha :=\{(x_1,\mathrm{},x_n)X^n:x_{\alpha _1+1}=x_{\alpha _1+2},\mathrm{},x_{\alpha _1+2\alpha _21}=x_{\alpha _1+2\alpha _2},\hfill \\ \hfill x_{\alpha _1+2\alpha _2+1}=x_{\alpha _1+2\alpha _2+2}=x_{\alpha _1+2\alpha _2+3},\mathrm{},x_{\alpha _1+2\alpha _2+3\alpha _32}=x_{\alpha _1+2\alpha _2+3\alpha _31}=x_{\alpha _1+2\alpha _2+3\alpha _3},\\ \hfill \mathrm{},x_1x_2\mathrm{}x_{\alpha _1}x_{\alpha _1+2}\mathrm{}x_{\alpha _1+2\alpha _2}x_{\alpha _1+2\alpha _2+3}\mathrm{}x_{\alpha _1+2\alpha _2+3\alpha _3}\mathrm{}\}.\end{array}$$

Here, the writing $`y_1y_2\mathrm{}y_m`$ means that $`y_iy_j`$ if $`ij`$. For any permutation $`\pi `$ of $`\{1,\mathrm{},n\}`$, denote

$$X_\alpha ^\pi :=\{(x_{\pi (1)},\mathrm{},x_{\pi (n)}):(x_1,\mathrm{},x_n)X_\alpha \}.$$

Evidently, all the sets $`X_\alpha ^\pi `$ either coincide or disjoint, and there are exactly $`R_\alpha `$ disjoint sets between them (see formula (5.11) and Remark 5.1). We denote these disjoint sets by $`X_\alpha ^{(1)},\mathrm{},X_\alpha ^{(R_\alpha )}`$, where $`X_\alpha ^{(1)}=X_\alpha `$.

Now, we fix $`n`$ and take all $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$ such that $`1\alpha _1+2\alpha _2+\mathrm{}=n`$. Then, we get the following representation of $`X^n`$ as a union of pair-wisely disjoint sets $`X_\alpha ^{(i)}`$:

$$X^n=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}\underset{i=1}{\overset{R_\alpha }{}}X_\alpha ^{(i)}.$$
(6.8)
Thus, each measure $`\vartheta (X^n)`$ can be represented as

$$\vartheta =\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}\underset{i=1}{\overset{R_\alpha }{}}\vartheta _\alpha ^{(i)},$$

where

$$\vartheta _\alpha ^{(i)}(\mathrm{\Delta }):=\vartheta (\mathrm{\Delta }X_\alpha ^{(i)}),\mathrm{\Delta }(X^n).$$

Let us suppose that the measure $`\vartheta `$ is invariant under the action of the group of permutations of $`\{1,\mathrm{},n\}`$ on $`X^n`$, i.e., for each permutation $`\pi `$, $`\vartheta (\mathrm{\Delta })=\vartheta (\pi \mathrm{\Delta })`$ for all $`\mathrm{\Delta }(X^n)`$, where

$$\pi \mathrm{\Delta }:=\{(x_{\pi (1)},\mathrm{},x_{\pi (n)}):(x_1,\mathrm{},x_n)\mathrm{\Delta }\}.$$

For any $`f_n𝒟^{\widehat{}n}`$, because of symmetricity, we then obtain:

$$\vartheta ,f_n=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}R_\alpha \vartheta _\alpha ,f_n,$$
(6.9)
where $`\vartheta _\alpha :=\vartheta _\alpha ^{(1)}`$.

Denote

$$\stackrel{~}{X}^{|\alpha |}:=\{(x_1,\mathrm{},x_{|\alpha |})X^{|\alpha |}:x_ix_j\text{ if }ij\}.$$

There exits a natural bijection between $`\stackrel{~}{X}^{|\alpha |}`$ and $`X_\alpha `$ given by

$$\begin{array}{c}\stackrel{~}{X}^{|\alpha |}(x_1,\mathrm{},x_n)T_\alpha (x_1,\mathrm{},x_n):=(x_1,\mathrm{},x_{\alpha _1},\underset{\text{2 times}}{\underset{}{x_{\alpha _1+1},x_{\alpha _1+1},}}\mathrm{},\hfill \\ \hfill \underset{\text{2 times}}{\underset{}{x_{\alpha _1+\alpha _2},x_{\alpha _1+\alpha _2},}}\underset{\text{3 times}}{\underset{}{x_{\alpha _1+\alpha _2+1},x_{\alpha _1+\alpha _2+1},x_{\alpha _1+\alpha _2+1},}}\mathrm{})X_\alpha .\end{array}$$

Evidently $`T_\alpha `$ and its inverse, $`T_\alpha ^1`$, are measurable mappings with respect to the corresponding trace $`\sigma `$-algebras.

Let us consider $`\vartheta _\alpha `$ as a measure on $`X_\alpha `$, and let $`\stackrel{~}{\vartheta }_\alpha `$ denote the image measure of $`\vartheta _\alpha `$ under $`T_\alpha ^1`$. As easily seen, for $`f_n𝒟^{\widehat{}n}`$,

$$\vartheta _\alpha ,f_n=\stackrel{~}{\vartheta }_\alpha ,D_\alpha f_n,$$
(6.10)
where $`D_\alpha `$ was defined in (5.9). By (6.9) and (6.10), taking $`\vartheta =:\omega ^n:_\lambda `$ for any $`\omega \mathrm{\Omega }(X)`$, we get

$$:\omega ^n:_\lambda ,f_n=\underset{\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}:\mathrm{\hspace{0.17em}1}\alpha _1+2\alpha _2+\mathrm{}=n}{}R_\alpha :\omega ^n:_{\lambda ,\alpha },D_\alpha f_n,$$
(6.11)
where $`:\omega ^n:_{\lambda ,\alpha }`$ is the corresponding $`\stackrel{~}{\vartheta }_\alpha `$ measure for $`\vartheta =:\omega ^n:_\lambda `$.

###### Theorem 6.1

Let $`\lambda 2`$, let $`\alpha _{+,\mathrm{\hspace{0.17em}0}}^{\mathrm{}}`$, $`m:=|\alpha |`$, and let $`n:=1\alpha _1+2\alpha _2+\mathrm{}`$. Let $`f_\alpha 𝒟^{\widehat{}\alpha _1}𝒟^{\widehat{}\alpha _2}\mathrm{}𝒟^m`$. Then,

$$^\alpha (f_\alpha )=:^n:_{\lambda ,\alpha },f_\alpha \varrho _\lambda \text{-a.s.,}$$

where for $`\omega \mathrm{\Omega }(X)`$ $`:\omega ^n:_{\lambda ,\alpha }`$ was extended to a measure on $`X^m`$ by setting it zero on $`X^m\stackrel{~}{X}^m`$.

###### Remark 6.3

It follows from Theorem 6.1 that the representation of $`:\omega ^n,f_n:`$ obtained in Corollary 5.1 in the case of $`\varrho _\lambda `$, $`\lambda 2`$, may be understood as taking the partition (6.8) of the space $`X^n`$, constructing the corresponding decomposition of each measure $`:\omega ^n:_\lambda `$ for $`\omega \mathrm{\Omega }(X)`$, and then applying this decomposition to $`:\omega ^n:_\lambda ,f_n=:\omega ^n,f_n:`$ .

Proof. We fix $`f_\alpha `$ as in the formulation of the theorem. For any $`x_0X`$, we choose $`r>0`$ such that $`\mathrm{supp}f_\alpha B(x_0,r)^n`$. Let $`\{\phi _i,i\}𝒟^m`$ be such that $`|\phi _i(x_1,\mathrm{},x_m)|1`$ for all $`i`$ and $`(x_1,\mathrm{},x_m)X^m`$, $`\mathrm{supp}\phi _iB(x_0,r+1)^m`$, $`i`$, and $`\phi _i`$’s converge point-wisely to the indicator of the set $`\{(x_1,\mathrm{},x_m)B(x_0,r)^m:x_1x_2\mathrm{}x_m\}`$. For $`k\{2,\mathrm{},n\}`$, let $`\{\psi _i^{(k)},i\}𝒟^k`$ be such that $`|\psi _i^{(k)}(x_1,\mathrm{},x_k)|1`$ for all $`i`$ and $`(x_1,\mathrm{},x_k)X^k`$, $`\mathrm{supp}\psi _i^{(k)}B(x_0,r+1)^k`$, $`i`$, and $`\psi _i^{(k)}`$’s converge point-wisely to the indicator of the set $`\{(x_1,\mathrm{},x_k)B(x_0,r)^k:x_1=x_2=\mathrm{}=x_k\}`$. For $`i`$, we define $`G_i𝒟^n`$ setting

$$\begin{array}{c}G_i(x_1,\mathrm{},x_n):=\left(f_\alpha \phi _i\right)(x_1,x_2,\mathrm{},x_{\alpha _1},x_{\alpha _1+2},x_{\alpha _1+4},\mathrm{},x_{\alpha _1+2\alpha _2},\mathrm{})\hfill \\ \hfill \times \psi ^{(2)}(x_{\alpha _1+1},x_{\alpha _1+2})\mathrm{}\psi ^{(2)}(x_{\alpha _1+2\alpha _21},x_{\alpha _1+2\alpha _2})\\ \hfill \times \psi ^{(3)}(x_{1+2\alpha _2+1},x_{1+2\alpha _2+2},x_{1+2\alpha _2+3})\mathrm{}\psi ^{(3)}(x_{1+2\alpha _2+3\alpha _32},x_{1+2\alpha _2+3\alpha _31},x_{1+2\alpha _2+3\alpha _3})\mathrm{}.\end{array}$$

Let $`G_i^{}𝒟^{\widehat{}n}`$ denotes the symmetrization of $`G_i`$, $`i`$. As easily seen, we get for each $`\omega \mathrm{\Omega }(X)`$:

$$:\omega ^n:_\lambda ,G_i^{}:\omega ^n:_{\lambda ,\alpha },f_\alpha $$
(6.12)
as $`i\mathrm{}`$. On the other hand, by Theorem 5.1 and Corollary 5.1,

$$:^n:_\lambda ,G_i^{}^\alpha \left((D_\alpha f_\alpha )\chi _{\{x_1x_2\mathrm{}x_m\}}\right)=^\alpha (D_\alpha f_\alpha )$$
(6.13)
as $`i\mathrm{}`$ in $`L^2(\mathrm{\Omega }(X);\rho _\lambda )`$. Comparing (6.12) and (6.13), we conclude the stament. $`\mathrm{}`$

Acknowledgements. I am grateful to Yu. Berezansky, Yu. Kondratiev, and D. Mierzejewski for many useful discussions. I am also indebted to N. Kachanovsky for his remarks on a preliminary version of the paper. The financial support of the SFB 611 and the DFG Research Project 436 RUS 113/593 is gratefully acknowledged.