The moment problem on the Wiener space
Abstract
Description
Consider an $L^1$-continuous functional $\ell$ on the vector space of polynomials of Brownian motion at given times, suppose $\ell $ commutes with the quadratic variation in a natural sense, and consider a finite set of polynomials of Brownian motion at rational times, $f_1(\vec b),...,f_m(\vec b)$, mapping the Wiener space to $\mathbb{R}$.
In the spirit of Schmüdgen's solution to the finite-dimensional moment problem, we give sufficient conditions under which $\ell$ can be written in the form $\int \cdot dμ$ for some finite measure $μ$ on the Wiener space such that $μ$-almost surely, all the random variables $f_1(\vec b),...,f_m(\vec b)$ are nonnegative.
14 pages; Theorem 2 and Lemma 1 withdrawn
14 pages; Theorem 2 and Lemma 1 withdrawn