The CMV bispectral problem

A classical result due to Bochner classifies the orthogonal polynomials on the real line which are common eigenfunctions of a second order linear differential operator. We settle a natural version of the Bochner problem on the unit circle which answers a similar question concerning orthogonal Laurent polynomials and can be formulated as a bispectral problem involving CMV matrices. We solve this CMV bispectral problem in great generality proving that, except the Lebesgue measure, no other one on the unit circle yields a sequence of orthogonal Laurent polynomials which are eigenfunctions of a linear differential operator of arbitrary order. Actually, we prove that this is the case even if such an eigenfunction condition is imposed up to finitely many orthogonal Laurent polynomials.