A characterization of probability measures by f-moments

K. Urbanik

Studia Mathematica, Tome 118 (1996) no. 2, pp. 185-204

Résumé

Given a real-valued continuous function ƒ on the half-line [0,∞) we denote by P*(ƒ) the set of all probability measures μ on [0,∞) with finite ƒ-moments $ʃ_{0}^{∞} ƒ(x)μ^{*n}(dx)$ (n = 1,2...). A function ƒ is said to have the identification property} if probability measures from P*(ƒ) are uniquely determined by their ƒ-moments. A function ƒ is said to be a Bernstein function} if it is infinitely differentiable on the open half-line (0,∞) and $(-1)^{n} ƒ^{(n+1)}(x)$ is completely monotone for some nonnegative integer n. The purpose of this paper is to give a necessary and sufficient condition in terms of the representing measures for Bernstein functions to have the identification property.

Détail

DOI : 10.4064/sm-118-2-185-204

Keywords: Bernstein functions, Laplace transform, moments, identification properties