Stieltjes moment problem via fractional moments (Q2485664)

The authors extend a procedure for the reconstruction of probability density function from the knowledge of its infinite sequence of ordinary moments [cf. the authors, ibid. 144, No. 1, 61--74 (2003; Zbl 1029.44003)] from the case of distributions with finite positive support (Hausdorff case) to the case where the distribution has \([0,\infty)\) support (Stieltjes case). The approximate density is obtained through a maximum entropy technique, under the constraint of few fractional moments. The authors prove that the approximate density is useful for calculating the expected values.