A moment problem for random discrete measures

Yuri G. Kondratiev, Tobias Kuna and Eugene Lytvynov

Stochastic Processes and their Applications, 2015, vol. 125, issue 9, 3541-3569

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 K(X) the cone of all Radon measures η on X which are of the form η=∑isiδxi, where, for each i, si>0 and δxi is the Dirac measure at xi∈X. A random discrete measure on X is a probability measure on K(X). The main result of the paper states a necessary and sufficient condition (conditional upon a mild a priori bound) when a random measure μ is also a random discrete measure. This condition is formulated solely in terms of moments of the random measure μ. 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 characterization via moments is given when a random measure is a point process.

Keywords: Discrete random measure; Moment problem; Point process; Random measure (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2015.03.007

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