Math 2.0

Integral transforms, operational calculus Moment problems Problem

Stieltjes moment problem

Builds on Moment problemMeasureMomentHankel matrixPositive semidefinite matrix

Problem

Let (mn)n≥0(m_n)_{n \ge 0} be a sequence of real numbers. Decide whether there is a positive Borel measure μ\mu on [0,∞)[0, \infty) such that every xnx^n is μ\mu-integrable and mn=∫[0,∞)xn dμ(x)for all n≥0.m_n = \int_{[0, \infty)} x^n \, d\mu(x) \quad \text{for all } n \ge 0. This is the moment problem on the half-line K=[0,∞)K = [0, \infty), and the mnm_n are the moments of μ\mu.

Remarks

The existence question is solved. Such a measure exists if and only if, for every n≥0n \ge 0, both Hankel matrices (mj+k)j,k=0n(m_{j+k})_{j,k=0}^{n} and (mj+k+1)j,k=0n(m_{j+k+1})_{j,k=0}^{n} are positive semidefinite. A measure with infinite support exists if and only if all the determinants of these matrices are strictly positive. Necessity is direct: for real c0,…,cnc_0, \ldots, c_n, the quadratic forms equal ∫p(x)2 dμ\int p(x)^2 \, d\mu and ∫x p(x)2 dμ\int x \, p(x)^2 \, d\mu with p(x)=∑jcjxjp(x) = \sum_j c_j x^j, and x≥0x \ge 0 on the support. The solution need not be unique; the log-normal distribution gives a sequence with many solutions. A Stieltjes moment sequence can be determinate as a Stieltjes problem but indeterminate as a Hamburger problem.

Reading path

To understand this page from the ground up, read these 7 pages in order. The foundations come first.

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  1. Hankel matrix concept
  2. Measure concept
  3. Moment concept
  4. Positive semidefinite matrix concept
  5. Sequence concept
  6. Moment problem problem
  7. Stieltjes moment problem problem

Where this leads

2 pages build on this one.

Further reading

  1. Web https://en.wikipedia.org/wiki/Stieltjes_moment_problem
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