Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process

Abstract

We relate iterates of the infinitesimal generator of a Markov process to space–time harmonic functions. First, we develop the theory for a general Markov process and create a family a space–time martingales. Next, we investigate the special class of subordinators. Combinatorics results on space–time harmonic polynomials and generalized Stirling numbers are developed and interpreted from a probabilistic point of view. Finally, we introduce the notion of pairs of subordinators in duality, investigate the implications on the associated martingales and consider some explicit examples