A moment problem for random discrete measures

DOI10.1016/J.SPA.2015.03.007zbMATH Open1321.60106arXiv1310.7872OpenAlexW2009349809MaRDI QIDQ491925FDOQ491925

Tobias Kuna, Eugene Lytvynov, Yuri Kondratiev

Publication date: 19 August 2015

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

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.

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)

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Cited In (9)

• 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.
• A moment problem for discrete nonpositive measures on a finite interval
• The full moment problem on subsets of probabilities and point configurations
• On the moment problem for random sums
• Universality in random moment problems
• Kernels of conditional determinantal measures and the Lyons-Peres completeness conjecture
• Moment problems on random rounding rules subject to two moment conditions
• Moments of discrete measures with dense jumps induced by \(\beta\)-expansions

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