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298                             Appendix D

                               Another recurrence relation may be obtained by differentiating equation (D.1) with
                             respect to î to obtain
                                                                  1  dH n s n
                                                                 X
                                                              2
                                                       2se 2îsÿs  ˆ
                                                                     dî n!
                                                                  nˆ0
                             Replacing the exponential on the left-hand side using equation (D.1) gives
                                                        1       n    1      n
                                                       X        s   X  dH n s
                                                     2s   H n (î)  ˆ
                                                       nˆ0      n!  nˆ0  dî n!
                                                            n
                             If we then equate the coef®cients of s , we obtain the desired result
                                                         dH n
                                                             ˆ 2nH nÿ1 (î)                      (D:6)
                                                          dî
                               The relations (D.5) and (D.6) may be combined to give a third recurrence relation.
                             Addition of the two equations gives

                                                                     d
                                                     H n‡1 (î) ˆ  2î ÿ  H n (î)                 (D:7)
                                                                    dî
                             With this recurrence relation, a Hermite polynomial may be obtained from the
                             preceding polynomial. By applying the relation (D.7) to H n (î) k times, we have
                                                                        k
                                                                     d
                                                    H n‡k (î) ˆ  2î ÿ    H n (î)                (D:8)
                                                                    dî

                             Differential equation
                             To ®nd the differential equation that is satis®ed by the Hermite polynomials, we ®rst
                             differentiate the second recurrence relation (D.6) and then substitute (D.6) with n
                             replaced by n ÿ 1 to eliminate the ®rst derivative of H nÿ1 (î)
                                                 2
                                                d H n     dH nÿ1
                                                     ˆ 2n       ˆ 4n(n ÿ 1)H nÿ2 (î)            (D:9)
                                                 dî 2       dî
                             Replacing n by n ÿ 1 in the ®rst recurrence relation (D.5), we have
                                               H n (î) ÿ 2îH nÿ1 (î) ‡ 2(n ÿ 1)H nÿ2 (î) ˆ 0
                             which may be used to eliminate H nÿ2 (î) in equation (D.9), giving
                                                   2
                                                  d H n
                                                       ‡ 2nH n (î) ÿ 4nîH nÿ1 (î) ˆ 0
                                                  dî 2
                             Application of equation (D.6) again to eliminate H nÿ1 (î) yields
                                                     2
                                                    d H n  ÿ 2î  dH n  ‡ 2nH n (î) ˆ 0         (D:10)
                                                    dî 2      dî
                             which is the Hermite differential equation.

                             Integral relations
                             To obtain the orthogonality and normalization relations for the Hermite polynomials,
                             we multiply together the generating functions g(î, s) and g(î, t), both obtained from
                             equation (D.1), and the factor e ÿî 2  and then integrate over î
                                     …                                 …
                                                                    n m
                                                                1
                                                             1
                                      1    2                X X    s t  1     2
                                 I      e ÿî  g(î, s)g(î, t)dî ˆ           e ÿî  H n (î)H m (î)dî  (D:11)
                                                                   n!m!
                                      ÿ1                     nˆ0 mˆ0    ÿ1
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