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Appendix D

                                                   Hermite polynomials
















                             The Hermite polynomials H n (î) are de®ned by means of an in®nite series
                             expansion of the generating function g(î, s),
                                                                          1       s n
                                                                         X
                                                           2
                                                                      2
                                                                 2
                                              g(î, s)   e 2îsÿs  ˆ e î ÿ(sÿî)     H n (î)       (D:1)
                                                                                  n!
                                                                         nˆ0
                             where ÿ1 < î < 1 and where jsj , 1 in order for the Taylor series expansion to
                             converge. The coef®cients H n (î) of the Taylor expansion are given by

                                                      n                 n
                                                     @ g(î, s)      î 2 @       2
                                                                                )
                                              H n (î) ˆ   n      ˆ e    n  (e ÿ(sÿî)            (D:2)
                                                        @s            @s
                                                              sˆ0                 sˆ0
                             For a function f (x ‡ y) of the sum of two variables x and y, we note that

                                                           @ f     @ f
                                                                ˆ
                                                           @x  y    @ y  x
                             Applying this property with x ˆ s and y ˆÿî to the nth-order partial derivative in
                             equation (D.2), we obtain
                                       @ n      2           n  @ n     2          n  d n  ÿî 2
                                                 )
                                                                       )
                                          (e ÿ(sÿî)    ˆ (ÿ1)    (e ÿ(sÿî)    ˆ (ÿ1)   e
                                       @s n                  @î n                  dî n
                                                  sˆ0                    sˆ0
                             and equation (D.2) becomes
                                                                 n î
                                                      H n (î) ˆ (ÿ1) e  2 d n  e ÿî  2          (D:3)
                                                                     dî n
                               Another expression for the Hermite polynomials may be obtained by expanding
                             g(î, s) using equation (A.1)
                                                                   X k         k
                                                                    1
                                                                      s (2î ÿ s)
                                                  g(î, s) ˆ e s(2îÿs)  ˆ
                                                                          k!
                                                                   kˆ0
                                                                               k
                             Applying the binomial expansion (A.2) to the factor (2î ÿ s) , we obtain
                                                             k      á
                                                            X   (ÿ1) k!
                                                        k                   kÿá á
                                                 (2î ÿ s) ˆ             (2î)   s
                                                               á!(k ÿ á)!
                                                            áˆ0
                             and g(î, s) takes the form
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