On powers of Stieltjes moment sequences, I

DOI10.1007/S10959-005-7530-6MaRDI QIDQ2576804zbMATH OpenOpenAlexFDO

Authors Christian Berg

Publication date 14 December 2005

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0412340

zbMATH Keywords

independent identically distributed normal random variablesinfinitely divisible distributionStieltjes moment sequence

Mathematics Subject Classification ID

Moment problems (44A60) Infinitely divisible distributions; stable distributions (60E07)

Abstract: We consider the set of Stieltjes moment sequences, for which every positive power is again a Stieltjes moment sequence, we and prove an integral representation of the logarithm of the moment sequence in analogy to the L'evy-Khinchin representation. We use the result to construct product convolution semigroups with moments of all orders and to calculate their Mellin transforms. As an application we construct a positive generating function for the orthonormal Hermite polynomials.

Review text

The starting point of this work is a theorem proved earlier by the author and \textit{A. J. Duran} [Ark. Mat. 42, 239--257 (2004; Zbl 1057.44002)]. It is proved that the border \(c=2\) in this theorem is best possible by proving that the sequence \((n!)c\) becomes indeterminate as a Stieltjes moment sequence when \(c>2\). The proof is given in section 2. In section 3 the author deals with a similar result about the product of independent identically distributed normal random variables. It is also proved that the distribution of the product of \(p\) independent identically distributed normal random variables is indeterminate if and only if \(p\) is greater than or equal to 3.

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Cited in

(24)

• On functions \(K\) and \(E\) generated by a sequence of moments
• A transformation from Hausdorff to Stieltjes moment sequences
• Structural properties of generalised Planck distributions
• Moment problems related to Bernstein functions
• Asymptotic behaviour of the Urbanik semigroup
• On powers of the Catalan number sequence
• The log-Lévy moment problem via Berg-Urbanik semigroups
• On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
• Stieltjes moment sequences and positive definite matrix sequences
• The truncated Stieltjes moment problem solved by using kernel density functions
• A refined factorization of the exponential law
• Jacobi sequences of squares of random variables
• Hamburger moment problem for powers and products of random variables
• A two-parameter extension of Urbanik's product convolution semigroup
• Maps preserving moment sequences
• The principal inverse of the gamma function
• Non‐classical Tauberian and Abelian type criteria for the moment problem
• Implicit renewal theory for exponential functionals of Lévy processes
• The Hadamard product of moment sequences, diagonal positivity preservers, and their generators
• Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
• On powers of Stieltjes moment sequences. II
• Generating functions via integral transforms
• Moment determinacy of powers and products of nonnegative random variables
• A new proof that the product of three or more exponential random variables is moment-indeterminate

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