English

The moment problem on the Wiener space

Probability 2007-05-23 v4 Functional Analysis

Abstract

Consider an L1L^1-continuous functional \ell on the vector space of polynomials of Brownian motion at given times, suppose \ell commutes with the quadratic variation in a natural sense, and consider a finite set of polynomials of Brownian motion at rational times, f1(b),...,fm(b)f_1(\vec b),...,f_m(\vec b), mapping the Wiener space to R\mathbb{R}. In the spirit of Schm\"udgen's solution to the finite-dimensional moment problem, we give sufficient conditions under which \ell can be written in the form dμ\int \cdot d\mu for some finite measure μ\mu on the Wiener space such that μ\mu-almost surely, all the random variables f1(b),...,fm(b)f_1(\vec b),...,f_m(\vec b) are nonnegative.

Keywords

Cite

@article{arxiv.math/0604211,
  title  = {The moment problem on the Wiener space},
  author = {Frederik S Herzberg},
  journal= {arXiv preprint arXiv:math/0604211},
  year   = {2007}
}

Comments

14 pages; Theorem 2 and Lemma 1 withdrawn