Existence, uniqueness and a constructive solution algorithm for a class of finite Markov moment problems

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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Year of publication:	2008-06-06
Authors:	Gosse, Laurent ; Runborg, Olof
Institutions:	HAL
Subject:	Inverse problems \| finite Markov moment problem \| exponential transform

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00323346/en/ Published, SIAM J. Appl. Math., 2008, 68, 6, 1618-1640
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008789164