Math 2.0

Integral transforms, operational calculus Definition

Indeterminate moment problem

Builds on Moment problemDeterminate moment problemMeasureMoment

Definition

Let KK be a closed subset of ℝ\R. Let μ\mu be a positive Borel measure on ℝ\R with support in KK, such that every moment mn=∫xn dμ(x)m_n = \int x^n \, d\mu(x), n≥0n \ge 0, is finite. The moment problem for μ\mu on KK is indeterminate if there is a positive Borel measure ν≠μ\nu \ne \mu with the following properties. The support of ν\nu lies in KK, and ∫xn dν(x)=mn\int x^n \, d\nu(x) = m_n for all n≥0n \ge 0. Equivalently, it is not determinate.

Remarks

Example: the log-normal density f(x)=(x2π)−1e−(ln⁡x)2/2f(x) = (x \sqrt{2\pi})^{-1} e^{-(\ln x)^2/2} on (0,∞)(0, \infty). The substitution x=eux = e^{u} shows ∫0∞xnf(x)sin⁡(2πln⁡x) dx=en2/2∫ℝe−v2/22πsin⁡(2πv) dv=0\int_0^\infty x^n f(x) \sin(2\pi \ln x) \, dx = e^{n^2/2} \int_{\R} \frac{e^{-v^2/2}}{\sqrt{2\pi}} \sin(2\pi v) \, dv = 0, with v=u−nv = u - n, since the last integrand is odd. So ν\nu with density f(x)(1+sin⁡(2πln⁡x))f(x)(1 + \sin(2\pi \ln x)) is a different positive measure on [0,∞)[0, \infty) with the same moments. Non-example: the uniform distribution on [0,1][0, 1] is not indeterminate, since a measure on a compact set is determined by its moments. Every measure with finitely many atoms is determinate, so an indeterminate measure has infinite support; its support must also be unbounded.

Reading path

To understand this page from the ground up, read these 6 pages in order. The foundations come first.

Show the path as a graph
Each page uses the pages above it. The colour of the bar on a box shows how strong the evidence is, and the box also gives it as text. The list has the same pages.
  • no evidence level
  1. Determinate moment problem concept
  2. Measure concept
  3. Moment concept
  4. Sequence concept
  5. Moment problem problem
  6. Indeterminate moment problem definition

Further reading

  1. Web https://en.wikipedia.org/wiki/Moment_problem
About this page
TagC38DV6ZAZ3
URIm2://C38DV6ZAZ3
Kinddefinition
WritingW0 stub
MSC44A60
DefinesIndeterminate moment problem
UsesMoment problem, Determinate moment problem, Measure, Moment

Markdown · JSON · Edit on GitHub

What this page needs for W1

  • an inventory row: the row of the inventory that the node accounts for (0 of 1)
  • a source with a locator (0 of 1)

The writing levels say how complete the text of a page is. They do not measure its truth.

What links here

No page links to this page yet.