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: IAC - Istituto per le Applicazioni del Calcolo "Mauro Picone" - CNR - National Research Council of Italy | Consiglio Nazionale delle Ricerche
Olof Runborg: CSC - KTH - KTH Royal Institute of Technology [Stockholm]

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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.

Keywords: Inverse problems; finite Markov moment problem; exponential transform.; exponential transform (search for similar items in EconPapers)
Date: 2008-06-06
Note: View the original document on HAL open archive server: https://hal.science/hal-00323346v1
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Citations: View citations in EconPapers (5)

Published in SIAM Journal on Applied Mathematics, 2008, 68 (6), pp.1618-1640. ⟨10.1137/070692510⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00323346

DOI: 10.1137/070692510

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