The Krein condition for the moment problem: appendix A
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The Krein condition for the moment problem : appendix A. / Pedersen, Henrik Laurberg.
I: Journal of Applied Probability, Bind 42, Nr. 3, 2005, s. 857-860.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - The Krein condition for the moment problem
T2 - appendix A
AU - Pedersen, Henrik Laurberg
N1 - Appendix A in "The Moment Problem for Some Weiner Functionals: Corrections to Previous Proofs (with and Appendix by H.L. Pedersen)", by Per Hörfelt, Chalmers University of Technology
PY - 2005
Y1 - 2005
N2 - In this paper, we describe a class of Wiener functionals that are `indeterminate by their moments', that is, whose distributions are not uniquely determined by their moments. In particular, it is proved that the integral of a geometric Brownian motion is indeterminate by its moments and, moreover, shown that previous proofs of this result are incorrect. The main result of this paper is based on geometric inequalities in Gauss space and on a generalization of the Krein criterion due to H. L. Pedersen.
AB - In this paper, we describe a class of Wiener functionals that are `indeterminate by their moments', that is, whose distributions are not uniquely determined by their moments. In particular, it is proved that the integral of a geometric Brownian motion is indeterminate by its moments and, moreover, shown that previous proofs of this result are incorrect. The main result of this paper is based on geometric inequalities in Gauss space and on a generalization of the Krein criterion due to H. L. Pedersen.
KW - Former LIFE faculty
KW - indeterminate moment problem
KW - harmonic function
KW - harmonic estimation
U2 - 10.1239/jap/1127322032
DO - 10.1239/jap/1127322032
M3 - Journal article
VL - 42
SP - 857
EP - 860
JO - Journal of Applied Probability
JF - Journal of Applied Probability
SN - 0021-9002
IS - 3
ER -
ID: 8075108