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

Laurent Gosse and Olof Runborg
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Laurent Gosse: CNR BARI

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Abstract: 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.

Date: 2008-09
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Citations: View citations in EconPapers (5)

Published in SIAM J. Appl. Math. 68, 6 (2008) 1618-1640

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0809.3714

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