A maximum entropy approach to the classical moment problem (Q1187990)

The author considers the case of indeterminacy of the classical moment problem. The known theorem, due to M. G. Krein, states that if there exists a positive measure \(\mu\) the solution of the moment problem whose absolutely continuous part \(\rho\) is such that \[ \int {{\log \rho(x)} \over {1+x^ 2}} dx>-\infty \tag{1} \] then the moment sequence is indeterminate. For every complex number \(\lambda\) with \(\text{Im }>0\) the author finds a solution \(\mu^ \lambda\) that maximizes the Poisson integral \[ {{\text{Im }\lambda} \over \pi} \int {{\log \rho(x)}\over {|\lambda-x|^ 2}}dx \] and proves the conversion of Krein's theorem: if the moment problem is indeterminate then among its solutions one can find a solution whose absolutely continuous part satisfies (1). P. Yuditskij has told the reviewer another proof of this conversion which is simple and elegant. Assume that \(\mu_ 1\) and \(\mu_ 2\) are two solutions of the moment problem and let \(w_ 1\) and \(w_ 2\) be the Stieltjes transforms of these measures. Set \(w_ j=(1-S_ j)/(1+S_ j)\), \(j=1,2\); where \(| S_ j(\lambda)|<1\), \(\text{Im }\lambda>0\). Then the function \(w=(1-(S_ 1+S_ 2)/2)/(1+(S_ 1+S_ 2)/2)\) again is the Stieltjes transform of some solution \(\mu\) of the moment problem (it follows immediately from the classical Weil-Hellinger theorem). But \(\text{Im }w=(1-|(S_ 1+S_ 2)/2|^ 2)/(| 1+((S_ 1+S_ 2)/2)|^ 2)\) and \(|(S_ 1-S_ 2)/(1+((S_ 1+S_ 2)/2))|^ 2 \leq \text{Im }w\leq1/(| 1+((S_ 1+2)/2)|^ 2)\), which implies that the absolutely continuous part of \(\mu\) satisfies (1). Other results of this type may be found in the paper by \textit{D. Z. Arov} and \textit{M. G. Krein} [Funct. Anal. 15, No. 2, 61-64 (1981; Zbl 0484.46060)].