Related papers: Moments of convex distribution functions and compl…
We derive analytic closed-form moment and Laplace transform formulae for the quasi-stationary distribution of the classical Shiryaev diffusion restricted to the interval $[0,A]$ with absorption at a given $A>0$.
This article investigates sharp comparison of moments for various classes of random variables appearing in a geometric context. In the first part of our work we find the optimal constants in the Khintchine inequality for random vectors…
We obtain exact formulas for the absolute raw and central moments of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. When the…
We present two new proofs of the exchange theorem for the Laplace transformation of vector-valued distributions. We then derive an explicit solution to the Dirichlet problem of the polyharmonic operator in a half-space. Finally, we obtain…
The discrete moment problem is a foundational problem in distribution-free robust optimization, where the goal is to find a worst-case distribution that satisfies a given set of moments. This paper studies the discrete moment problems with…
In this paper we investigate the solution of generalized distributed order diffusion equations with composite time fractional derivative by using the Fourier-Laplace transform method. We represent solutions in terms of infinite series in…
We obtain new closed-form formulas for the moments and absolute moments of the variance-gamma distribution. We thus deduce new formulas for the moments and absolute moments of the product of two correlated zero mean normal random variables.
This paper is about the moment problem on a finite-dimensional vector space of continuous functions. We investigate the structure of the convex cone of moment functionals (supporting hyperplanes, exposed faces, inner points) and treat…
The absolute moments of probability distributions are much more complicated than conventional ones. By using a direct and simpler approach, we retreat P. L. Hsu's (1951, J. Chinese Math. Soc., Vol. 1, pp. 257-280) formulas in terms of the…
We calculate moments and moment generating functions of two distributions: the so called $q-$Normal and the so called conditional $q-$Normal distributions. These distributions generalize both Normal ($q=1),$ Wigner ($% q=0,$ $q-$Normal) and…
We characterize the existence of the $L^1$ solutions of the truncated moments problem in several real variables on unbounded supports by the existence of the maximum of certain concave Lagrangian functions. A natural regularity assumption…
In this paper, we establish the existence of moments and moment estimates for L\'evy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of…
It is explained how a locally convex (lc) topology $\tau$ on a real vector space $V$ extends to a locally multiplicatively convex (lmc) topology $\overline{\tau}$ on the symmetric algebra $S(V)$. This allows the application of the results…
We consider an evolution equation with the regularized fractional derivative of an order $\alpha \in (0,1)$ with respect to the time variable, and a uniformly elliptic operator with variable coefficients acting in the spatial variables.…
In this note, we consider the performance of the classic method of moments for parameter estimation of symmetric variance-gamma (generalized Laplace) distributions. We do this through both theoretical analysis (multivariate delta method)…
In this paper, we are interested in the propagation of convexity by the strong solution to a one-dimensional Brownian stochastic differential equation with coefficients Lipschitz in the spatial variable uniformly in the time variable and in…
We consider univariate distributions with finite moments of all positive orders. The moment problem is to determine whether or not a given distribution is uniquely determined by the sequence of its moments. There is a huge literature on…
We discuss the derivation and the solutions of integro-differential equations (variable-order time-fractional diffusion equations) following as continuous limits for lattice continuous time random walk schemes with power-law waiting-time…
The moment problem in probability theory asks for criteria for when there exists a unique measure with a given tuple of moments. We study a variant of this problem for random objects in a category, where a moment is given by the average…
We investigate the maximal domain of the moment generating function of affine processes in the sense of Duffie, Filipovi\'{c} and Schachermayer [Ann. Appl. Probab. 13 (2003) 984-1053], and we show the validity of the affine transform…