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June 15, 2017 15:30, Seminar, Charles University, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics


Recent results on the moment determinacy of probability distributions

J. Stoyanovab

a Newcastle University
b Bulgarian Academy of Sciences

Abstract: We deal with probability distributions, one-dimensional, multi-dimensional or distributions of stochastic processes (e.g. SDEs). One of the assumption is that they have all moments finite. It is well-known from the classical moment problem that any such a distribution is either uniquely determined by its moment (M- determinate) or it is non-unique (M-indeterminate). Along a brief discussion on known conditions (Cramer, Carleman, Krein, Hardy), the emphasis will be on new and checkable conditions for M-determinacy and/or M-indeterminacy of functional transformations of random data. The new results will be reported with hints for their proof. Examples and counterexamples will be given also open questions and conjectures outlined.

Language: English


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