中文

The moment problem on the Wiener space

概率论 2007-05-23 v4 泛函分析

摘要

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.

关键词

引用

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

备注

14 pages; Theorem 2 and Lemma 1 withdrawn