Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.

Convergence of Probability Measures

In this survey, different aspects of the theory of orthogonal polynomials of one (real or complex) variable are reviewed Orthogonal polynomials on the unit circle are not discussed

Orthogonal Polynomials

The author's preface gives an outline: "This book is about weakconvergence methods in metric spaces, with applications sufficient to show their power and utility. The Introduction motivates the definitions and indicates how the theory will yield solutions to problems arising outside it. Chapter 1 sets out the basic general theorems, which are then specialized in Chapter 2 to the space C[0, l ] of continuous functions on the unit interval and in Chapter 3 to the space D [0, 1 ] of functions with discontinuities of the first kind. The results of the first three chapters are used in Chapter 4 to derive a variety of limit theorems for dependent sequences of random variables. " The book develops and expands on Donsker's 1951 and 1952 papers on the invariance principle and empirical distributions. The basic random variables remain real-valued although, of course, measures on C[0, l ] and D[0, l ] are vitally used. Within this framework, there are various possibilities for a different and apparently better treatment of the material. More of the general theory of weak convergence of probabilities on separable metric spaces would be useful. Metrizability of the convergence is not brought up until late in the Appendix. The close relation of the Prokhorov metric and a metric for convergence in probability is (hence) not mentioned (see V. Strassen, Ann. Math. Statist. 36 (1965), 423-439; the reviewer, ibid. 39 (1968), 1563-1572). This relation would illuminate and organize such results as Theorems 4.1, 4.2 and 4.4 which give isolated, ad hoc connections between weak convergence of measures and nearness in probability. In the middle of p. 16, it should be noted that C*(S) consists of signed measures which need only be finitely additive if 5 is not compact. On p. 239, where the author twice speaks of separable subsets having nonmeasurable cardinal, he means "discrete" rather than "separable." Theorem 1.4 is Ulam's theorem that a Borel probability on a complete separable metric space is tight. Theorem 1 of Appendix 3 weakens completeness to topological completeness. After mentioning that probabilities on the rationals are tight, the author says it is an

Convergence of probability measures

The Theory of Matrices. By F R. Gantmacher. Two volumes, pp. 374 and 276. 1959. (Translated from the Russian by K. A. Hirsch; Chelsea Publishing Company, New York)

Stable non-Gaussian random processes , by G. Samorodnitsky and M. S. Taqqu. Pp. 632. £49.50. 1994. ISBN 0-412-05171-0 (Chapman and Hall).

Orthogonal polynomials on a compact set- Asymptotically periodic recurrence coefficients- Probabilistic proofs of asymptotic formulas- Orthogonal polynomials on unbounded sets- Zero distribution and consequences- Some applications

Asymptotics for Orthogonal Polynomials

In the early nineties, Fokas, Its and Kitaev observed that there is a natural Riemann-Hilbert problem (for 2 x×2 matrix functions) associated with a system of orthogonal polynomials. This Riemann-Hilbert problem was later used by Deift et al. and Bleher and Its to obtain interesting results on orthogonal polynomials, in particular strong asymptotics which hold uniformly in the complex plane. In this paper we will show that a similar Riemann-Hilbert problem (for (r + 1) × (r + 1) matrix functions) is associated with multiple orthogonal polynomials. We show how this helps in understanding the relation between two types of multiple orthogonal polynomials and the higher order recurrence relations for these polynomials. Finally we indicate how an extremal problem for vector potentials is important for the normalization of the Riemann-Hilbert problem. This extremal problem also describes the zero behavior of the multiple orthogonal polynomials.

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Riemann-Hilbert Problems for Multiple Orthogonal Polynomials

Some classical multiple orthogonal polynomials

It is well-known that orthogonal polynomials on the real line satisfy a three-term recurrence relation and conversely every system of polynomials satisfying a three-term recurrence relation is orthogonal with respect to some positive Borel measure on the real line. In this paper we extend this result and show that every system of polynomials satisfying some $(2N+1)$-term recurrence relation can be expressed in terms of orthonormal matrix polynomials for which the coefficients are $N\times N$ matrices. We apply this result to polynomials orthogonal with respect to a discrete Sobolev inner product and other inner products in the linear space of polynomials. As an application we give a short proof of Krein's characterization of orthogonal polynomials with a spectrum having a finite number of accumulation points.

Walter Van Assche

Papers

Asymptotics for Orthogonal Polynomials

Riemann-Hilbert Problems for Multiple Orthogonal Polynomials

Some classical multiple orthogonal polynomials

Orthogonal matrix polynomials and higher order recurrence relations

Orthogonal matrix polynomials and applications