SIAM AG on Orthogonal Polynomials and Special Functions


Extract from OP-SF NET

Topic #11  ------------   OP-SF NET 8.2  ----------------  March 15, 2001
From: OP-SF NET Editor (
Subject: Book by Schoutens on Stochastic Processes and Orthogonal Polynomials

[From the web site:]
               Stochastic Processes and Orthogonal Polynomials
               Series: Lecture Notes in Statistics, Vol. 146
               Wim Schoutens, Katholieke Universiteit Leuven,
               B-3001 Heverlee
               Price $49.95
               184 pages , 6 1/8 x 9 1/4, paperback
               ISBN: 0-387-95015-X, published 2000


The book offers an accessible reference for researchers in the
probability, statistics and special functions communities. It gives a
variety of interdisciplinary relations between the two main ingredients of
stochastic processes and orthogonal polynomials. It covers topics like
time dependent and asymptotic analysis for birth-death processes and
diffusions, martingale relations for Levy processes, stochastic integrals
and Stein's approximation method. Almost all well-known orthogonal
polynomials, which are brought together in the so-called Askey Scheme,
come into play.  This volume clearly illustrates the powerful mathematical
role of orthogonal polynomials in the analysis of stochastic processes and
is made accessible for all mathematicians with a basic background in
probability theory and mathematical analysis.

Wim Schoutens is a Postdoctoral Researcher of the Fund for Scientific
Research-Flanders (Belgium). He received his PhD in Science from the
Catholic University of Leuven, Belgium.

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