Abstract
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.
| Original language | English |
|---|---|
| Journal | Journal of Applied Probability |
| Volume | 42 |
| Issue number | 3 |
| Pages (from-to) | 857-860 |
| Number of pages | 4 |
| ISSN | 0021-9002 |
| DOIs | |
| Publication status | Published - 2005 |
Bibliographical note
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 TechnologyKeywords
- Former LIFE faculty
- indeterminate moment problem
- harmonic function
- harmonic estimation