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Hermite Polynomials

The Hermite polynomials are a classical orthogonal polynomial sequence that arise in probability, combinatorics, and physics. They are defined either by the "probabilists' Hermite polynomials" or the "physicists' Hermite polynomials", which differ by a rescaling. The Hermite polynomials are orthogonal with respect to the standard normal probability density function. They satisfy a recursion relation and are solutions to the Hermite differential equation. The Hermite polynomials also have applications in generating functions and expected values of random variables.

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Jhon Bladimir Caicedo Portilla
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149 views

Hermite Polynomials

The Hermite polynomials are a classical orthogonal polynomial sequence that arise in probability, combinatorics, and physics. They are defined either by the "probabilists' Hermite polynomials" or the "physicists' Hermite polynomials", which differ by a rescaling. The Hermite polynomials are orthogonal with respect to the standard normal probability density function. They satisfy a recursion relation and are solutions to the Hermite differential equation. The Hermite polynomials also have applications in generating functions and expected values of random variables.

Uploaded by

Jhon Bladimir Caicedo Portilla
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Hermite polynomials

In mathematics, the Hermite polynomials are a classical orthogonal polynomial sequence that arise in
probability, such as the Edgeworth series; in combinatorics, as an example of an Appell sequence, obeying
the umbral calculus; and in physics, where they give rise to the eigenstates of the quantum harmonic
oscillator. They are named in honor of Charles Hermite.

Definition
The Hermite polynomials are defined either by

(the "probabilists' Hermite polynomials"), or sometimes by

(the "physicists' Hermite polynomials"). These two definitions are not exactly equivalent; either is a
rescaling of the other, to wit

These are Hermite polynomial sequences of different variances; see the material on variances below.

Below, we usually follow the first convention. That convention is often preferred by probabilists because

is the probability density function for the normal distribution with expected value 0 and standard deviation
1.
The first five (probabilists') Hermite polynomials.

The first eleven probabilists' Hermite polynomials are:

The first five (physicists') Hermite polynomials.

and the first eleven physicists' Hermite polynomials are:


Properties
Hn is a polynomial of degree n. The probabilists' version has leading coefficient 1, while the physicists'
version has leading coefficient 2n.

Orthogonality

Hn(x) is an nth-degree polynomial for n = 0, 1, 2, 3, .... These polynomials are orthogonal with respect to the
weight function (measure)

(probabilist)

or

(physicist)

i.e., we have

when m ≠ n. Furthermore,

(probabilist)

or
(physicist).

The probabilist polynomials are thus orthogonal with respect to the standard normal probability density
function.

Completeness

The Hermite polynomials (probabilist or physicist) form an orthogonal basis of the Hilbert space of
functions satisfying

in which the inner product is given by the integral including the Gaussian weight function w(x) defined in
the preceding section,

An orthogonal basis for L2(R, w(x) dx) is a complete orthogonal system. For an orthogonal system,
completeness is equivalent to the fact that the 0 function is the only function ƒ ∈ L2(R, w(x) dx) orthogonal
to all functions in the system. Since the linear span of Hermite polynomials is the space of all polynomials,
one has to show (in physicist case) that if ƒ satisfies

for every n ≥ 0, then ƒ = 0. One possible way to do it is to see that the entire function

vanishes identically. The fact that F(it) = 0 for every t real means that the Fourier transform of ƒ(x) exp(−x2)
is 0, hence ƒ is 0 almost everywhere. Variants of the above completeness proof apply to other weights with
exponential decay. In the Hermite case, it is also possible to prove an explicit identity that implies
completeness (see "Completeness relation" below).

An equivalent formulation of the fact that Hermite polynomials are an orthogonal basis for L2(R, w(x) dx)
consists in introducing Hermite functions (see below), and in saying that the Hermite functions are an
orthonormal basis for L2(R).

Hermite's differential equation

The probabilists' Hermite polynomials are solutions of the differential equation

where λ is a constant, with the boundary conditions that u should be polynomially bounded at infinity. With
these boundary conditions, the equation has solutions only if λ is a positive integer, and up to an overall
scaling, the solution is uniquely given by u(x) = Hλ(x). Rewriting the differential equation as an eigenvalue
problem

L[u] = u'' − xu' = − λu

solutions are the eigenfunctions of the differential operator L. This eigenvalue problem is called the Hermite
equation, although the term is also used for the closely related equation

u'' − 2xu' = − 2λu

whose solutions are the physicists' Hermite polynomials.

With more general boundary conditions, the Hermite polynomials can be generalized to obtain more general
analytic functions Hλ(z) for λ a complex index. An explicit formula can be given in terms of a contour
integral (Courant & Hilbert 1953).

[edit] Recursion relation

The sequence of Hermite polynomials also satisfies the recursion

(probabilist)

(physicist)

The Hermite polynomials constitute an Appell sequence, i.e., they are a polynomial sequence satisfying the
identity

(probabilist)

(physicist)

or equivalently,

(probabilist)

(physicist)

(the equivalence of these last two identities may not be obvious, but its proof is a routine exercise).

It follows that the Hermite polynomials also satisfy the recurrence relation

(probabilist)

(physicist)

These last relations, together with the initial polynomials H0(x) and H1(x), can be used in practice to
compute the polynomials quickly.
Generating function

The Hermite polynomials are given by the exponential generating function

(probabilist)

(physicist).

This equality is valid for all x, t complex, and can be obtained by writing the Taylor expansion at x of the
entire function z → exp(−z2) (in physicist's case). One can also derive the (physicist's) generating function
by using Cauchy's Integral Formula to write the Hermite polynomials as

Using this in the sum , one can evaluate the remaining integral using the calculus of residues
and arrive at the desired generating function.

Expected value

If X is a random variable with a normal distribution with standard deviation 1 and expected value μ then

(probabilist)

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