Let p(t)(x) be the (Gaussian) heat kernel on R-n at time t. The classical H
ermite polynomials at time I may be defined by a Rodriguez formula, given b
y H-alpha(-x, t) p(t)(x) =alpha p(t)(x), where alpha is a constant coeffici
ent differential operator on R-n. Recent work of Gross (1993) and Hijab (19
94) has led to the study of a new class of functions on a general compact L
ie group, G. In analogy with the R-n case, these "Hermite functions" on G a
re obtained by the same formula, wherein p(t)(x) is now the heat kernel on
the group, -x is replaced by x(-I), and alpha is a right invariant differen
tial operator. Let g be the Lie algebra of G. Composing a Hermite function
on G with the exponential map produces a family of functions on g. We prove
that these functions, scaled appropriately in t, approach the classical He
rmits polynomials at time 1 as t tends to 0, both uniformly on compact subs
ets of g and in L-p(g, mu), where 1 less than or equal to p < infinity, and
mu is a Gaussian measure on g. Similar theorems are established when G is
replaced by G/K, where K is some closed, connected subgroup of G. (C) 1999
Academic Press.