The moment problem on the Wiener space
Probability
2007-05-23 v4 Functional Analysis
Abstract
Consider an -continuous functional on the vector space of polynomials of Brownian motion at given times, suppose commutes with the quadratic variation in a natural sense, and consider a finite set of polynomials of Brownian motion at rational times, , mapping the Wiener space to . In the spirit of Schm\"udgen's solution to the finite-dimensional moment problem, we give sufficient conditions under which can be written in the form for some finite measure on the Wiener space such that -almost surely, all the random variables are nonnegative.
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14 pages; Theorem 2 and Lemma 1 withdrawn