Maximum entropy in the Hamburger moments problem

DOI10.1063/1.530796zbMATH Open0826.44004OpenAlexW2044378215MaRDI QIDQ4327232FDOQ4327232

Authors: Aldo Tagliani 

Publication date: 5 April 1995

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.530796

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• scientific article; zbMATH DE number 425559

zbMATH Keywords

inverse problemstochastic differential equationsinverse Laplace transformfinite Hamburger moments problemmaximum and entropy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace transform (44A10) Moment problems (44A60)

Cites Work

• Information Theory and Statistical Mechanics
• On the application of maximum entropy to the moments problem
• Linear systems and normality
• On the application of maximum entropy to the moments problem

Cited In (14)

• Multivariate truncated moments problems and maximum entropy
• Maximum entropy in the finite Stieltjes and Hamburger moment problem
• Construction of probability distributions in high dimension using the maximum entropy principle: Applications to stochastic processes, random fields and random matrices
• Numerical aspects of finite Hausdorff moment problem by maximum entropy approach
• MAXIMUM ENTROPY FOR REDUCED MOMENT PROBLEMS
• Title not available (Why is that?)
• Maximum entropy solutions and moment problem in unbounded domains
• Hausdorff moment problem and maximum entropy: A unified approach
• Hamburger moment problem and maximum entropy: on the existence conditions
• On the five-moment Hamburger maximum entropy reconstruction
• Recovering a probability density function from its Mellin transform
• Entropy estimate of a probability density from its Mellin transform
• AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
• On polynomial maximum entropy method for classical moment problem

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