Wick--Fourier--Hermite Series in the Theory of Linear and Nonlinear Transformations of Gaussian Distributions

E. Chernousova, S.A. Molchanov, A. N. Shiryaev

2023, v.29, Issue 4, 459-492

ABSTRACT

This article provides information on Hermite polynomials and its application to some problems in risk theory and site percolation.

DOI:
10.61102/1024-2953-mprf.2023.29.4.001

Keywords: Hermite polynomials, Wick exponent, Mehler formula, Gaussian mixture, transformations of Gaussian distributions, diagrams

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Laboratory of large random systems, Dept. of Mechanics and Mathematics
Moscow State University, Vorobievy Gory, 119952 Moscow Russia
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The journal was founded in 1995 by prof. Malyshev V. A.
Published by Polymat Publishing Company, Moscow, Russia
ISSN 1024-2953
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E. Chernousova, S.A. Molchanov, A. N. Shiryaev