The Askey Scheme of Orthogonal Polynomials
The main focus of this book is the relationship between orthogonal polynomials and stochastic processes. In this chapter we review the relevant background of orthogonal polynomials. We start with some preliminaries and introduce the concept of an orthogonal polynomial. After classifying the so-called classical orthogonal polynomials, we describe the Askey scheme. This scheme contains the most important orthogonal polynomials and stresses the limit relations between them.
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