A transformation from Hausdorff to Stieltjes moment sequences |
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| Authors: | Christian Berg Antonio J Durán |
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| Institution: | (1) Department of Mathematics, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen, Denmark;(2) Departamento de Análisis Matemático, Universidad de Sevilla, Apartado 1160, ES-41080 Sevilla, Spain |
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| Abstract: | We introduce a non-linear injective transformation τ from the set of non-vanishing normalized Hausdorff moment sequences to the set of normalized Stieltjes moment sequences by the formulaT(a n ) n=1 ∞ ] n = 1/a1 ...a n . Special cases of this transformation have appeared in various papers on exponential functionals of Lévy processes, partly motivated by mathematical finance. We give several examples of moment sequences arising from the transformation and provide the corresponding measures, some of which are related toq-series. |
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