A moment problem for random discrete measures

DOI10.1016/J.SPA.2015.03.007MaRDI QIDQ491925zbMATH OpenOpenAlexFDO

Authors Yuri Kondratiev, Tobias Kuna, Eugene Lytvynov

Publication date 19 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.7872

zbMATH Keywords

point processmoment problemrandom discrete measures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Moment problems (44A60)

Abstract: Let $X$ be a locally compact Polish space. A random measure on $X$ is a probability measure on the space of all (nonnegative) Radon measures on $X$. Denote by $mathbbK(X)$ the cone of all Radon measures $eta$ on $X$ which are of the form $eta=su{m}_i{s}_{i}delt{a}_{x_i}$, where, for each $i$, $s_i>0$ and $delt{a}_{x_i}$ is the Dirac measure at $x_{i}inX$. A random discrete measure on $X$ is a probability measure on $mathbbK(X)$. The main result of the paper states a necessary and sufficient condition (conditional upon a mild a priori bound) when a random measure $mu$ is also a random discrete measure. This condition is formulated solely in terms of moments of the random measure $mu$. Classical examples of random discrete measures are completely random measures and additive subordinators, however, the main result holds independently of any independence property. As a corollary, a characterisation via a moments is given when a random measure is a point process.

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Cited in

(9)

• Moment problems on random rounding rules subject to two moment conditions
• Regularization method for the generalized moment problem in a functional reproducing kernel Hilbert space
• A simple proof of the almost sure discreteness of a class of random measures.
• On the moment problem for random sums
• Universality in random moment problems
• Kernels of conditional determinantal measures and the Lyons-Peres completeness conjecture
• Moments of discrete measures with dense jumps induced by \(\beta\)-expansions
• A moment problem for discrete nonpositive measures on a finite interval
• The full moment problem on subsets of probabilities and point configurations

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