Existence, Uniqueness, and a Constructive Solution Algorithm for a Class of Finite Markov Moment Problems

DOI10.1137/070692510MaRDI QIDQ3549335zbMATH OpenOpenAlexFDO

Authors Laurent Gosse, Olof Runborg

Publication date 22 December 2008

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.3714

zbMATH Keywords

algorithminverse problemsexponential transformFinite Markov moment problem

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Numerical computation of solutions to systems of equations (65H10) Moment problems (44A60)

Abstract: We consider a class of finite Markov moment problems with arbitrary number of positive and negative branches. We show criteria for the existence and uniqueness of solutions, and we characterize in detail the non-unique solution families. Moreover, we present a constructive algorithm to solve the moment problems numerically and prove that the algorithm computes the right solution.

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