A stochastic characterization of Hermite polynomials (Q1269988)

The authors characterize Hermite polynomials by the following property: Let \(h_n\) be an analytic function on the real numbers, such that \(E(h_n(U_t)\mid W_s)=(s/t)^{n/2}h_n(U_s)\), for \(U_t=t^{-1/2}W_t\), where \(W_t\) is a standard Brownian motion. Then \(h_n\) is a Hermite polynomial up to a constant.