Continuation of Hermitian positive definite functions and related questions (Q2442628): Difference between revisions

Written in an attractive way, the present work is a presentation of results on continuation of Hermitian positive definite function on an interval. Actually, it is a continuation of a larger study, begun jointly with the first author, having four big parts and analyzing various continuation problems, starting from the observation of the first author that there exists a deep analogy between the continuation problem for positive definite functions and classical moment problems. The present paper, written in the spirit proposed by the first author in the 1980s, can be considered as the fifth part of the big joint work, containing besides the old manuscript on the general indefinite continuation problem, which circulated early, new results obtained in the meantime. The paper contains twelve sections, where the reader can find an interesting and nice introduction in the topic, besides an attractive presentation of the results. Here, \({\mathcal P}_a\) is the set of all complex continuous positive definite functions \(f\) on an interval \((-2a,2a)\), for \(a>0\), and in the first section the class \(\mathcal W\) of all \(\rho\)-matrix functions is presented. In the second section, a \(2\times 2\)-matrix function \(H\) whose elements are locally summable on the interval \([0,L)\) is called a Hamiltonian, and it is seen that the class \(\mathcal W\) is closely related to canonical differential systems of dimensions two. Spectral measures of a canonical differential system are analyzed in the third section, and it is shown that the canonical differential system with a trace-normed Hamiltonian has a unique spectral measure if and only if \(L=\infty\). Also, some other properties are presented. Using Bochner's theorem for the positive definite kernel given by a Hermitian continuous complex function \(f\in{\mathcal P}_a\), \(\tilde{f}\in {\mathcal P}_\infty\) holds if and only if \(f\) admits a representation by a uniquely determined non-negative measure \(\sigma\) on \(\mathbb R\), which is the spectral measure of \(f\). Based on this fact, the main theorem on the continuations of a function \(f\in{\mathcal P}_a\) is obtained (Theorem 4.4), which ensures that, for finite \(a\), each \(f\in{\mathcal P}_a\) has at lest one continuation \(\tilde{f}\in {\mathcal P}_\infty\), and characterizations are given. Also, conditions for a continuation \(\tilde{f}\) of \(f\) to be orthogonal are given in the fourth section. The fifth section is dedicated to the class of screw functions, namely, the set \({\mathcal G}_a\), \(0<a\leq\infty\), of all complex functions \(g\) on \((-2a,2a)\) which are continuous and Hermitian and have the property that the kernel \(G_g(s,t) :=g(t-s)-g(t)-\overline{g(s)}+g(0)\), \(|s|,|t|<a\), is positive definite. It is shown that each function \(g\in {\mathcal G}_a\), \(0<a<\infty\), admits at least one continuation \(\tilde{g}\in{\mathcal G}_\infty\), and a description of all continuations is given. Also, the correspondence with regular canonical systems is found (Theorem 5.6). Considering \(f\in{\mathcal P}_\infty\) and \(g\in {\mathcal G}_\infty\), properties of their restrictions \(f_b, g_b\) to an interval \((-2b,2b)\) are studied in the sixth section. These properties can be used to give an answer to the problem of finding criteria in terms of their spectral data that two trace-normed Hamiltonians on \([0,\infty)\) coincide on some bounded interval. In the seventh section, real functions of the classes \({\mathcal P}_a\) and \({\mathcal G}_a\), \(0<a\leq\infty\), are considered, and descriptions of the corresponding measures are given. Basic results about spectral measures of a string can be found in the eight section, and it is shown that there is a close connection between strings and canonical differential systems with Hamiltonians of diagonal form. In the ninth section of the paper, the correspondence between real functions of the classes \({\mathcal P}_a\) and \({\mathcal G}_a\) and regular strings is established. Singular strings with finite momentum of inertia are analyzed in the tenth section. With some singular strings a matrix function can be associated which, in some extended sense, has the property of a resolvent matrix function. Since the strings with finite momentum of inertia have a unique spectral measure supported on \([0,\infty)\) but infinitely many spectral measures supported on \(\mathbb R\), a description of these spectral measures is given in Theorem 10.1. The previously obtained results about continuations of Hermitian positive definite functions are applied in the last two sections of the paper to an extrapolation problem for second order stochastic processes from a finite time interval. In such a way, in the eleventh section extrapolation of a second order weakly stationary stochastic process from a finite time interval is considered, namely, it is supposed that, for some \(a>0\), the process \(X=(X_t: -\infty<t<+\infty)\) has been observed for \(-a\leq t \leq a\), and the best mean square prediction \(X_{t_0}\), for \(t_0\in\mathbb R \setminus [-a,a]\) is found, using the obtained results about the continuation problem. In the last section, a solution for the extrapolation of a second order stochastic process \(Y=(Y_t)_{t\in\mathbb R}\) with stationary increments from a finite time interval is given, considering a screw arc \((Y_t)_{t\in\mathcal I}\), where \(\mathcal I\) is an arbitrary interval. Some results about the continuation of screw arcs to screw lines are formulated and, considering the screw line to be a model for a process with stationary increments, the best mean square prediction for \(Y_{t_0}\) is obtained, if the process has been observed for all \(t\in [-a,a]\).