Stochastic Processes and Orthogonal Polynomials

It has been known for a long time that there is a close connection between stochastic processes and orthogonal polynomials. For example, N. Wiener [112] and K. Ito [56] knew that Hermite polynomials play an important role in the integration theory with respect to Brownian motion. In the 1950s D. G. Kendall [66], W. Ledermann and G. E. H. Reuter [67] [74], and S. Kar- lin and J. L. McGregor [59] established another important connection. They expressed the transition probabilities of a birth and death process by means of a spectral representation, the so-called Karlin-McGregor representation, in terms of orthogonal polynomials. In the following years these relation- ships were developed further. Many birth and death models were related to specific orthogonal polynomials. H. Ogura [87], in 1972, and D. D. En- gel [45], in 1982, found an integral relation between the Poisson process and the Charlier polynomials. Some people clearly felt the potential im- portance of orthogonal polynomials in probability theory. For example, P. Diaconis and S. Zabell [29] related Stein equations for some well-known distributions, including Pearson's class, with the corresponding orthogonal polynomials.
The most important orthogonal polynomials are brought together in the so-called Askey scheme of orthogonal polynomials. This scheme classifies the hypergeometric orthogonal polynomials that satisfy some type of differ- ential or difference equation and stresses the limit relations between them.