Some conditional expectation identities for the multivariate normal

We give formulas for the conditional expectations of a product of multivariate Hermite polynomials with multivariate normal arguments. These results are extended to include conditional expectations of a product of linear combination of multivariate normals. A unified approach is given that covers both Hermite and modified Hermite polynomials, as well as polynomials associated with a matrix whose eigenvalues may be both positive and negative. (C) 2010 Elsevier Inc. All rights reserved.