The Krein condition for the moment problem: appendix A

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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.
TidsskriftJournal of Applied Probability
Udgave nummer3
Sider (fra-til)857-860
Antal sider4
StatusUdgivet - 2005

ID: 8075108