The generalized moment of order k of a mass distribution sigma for a natural number k is given by integral of lambda to the power k with respect to mass distribution sigma and variable lambda. In extended moment problem, given a sequence of real numbers, it is required to find a mass distribution whose generalized moment of order k is k&#039 / th term of the sequence. The conditions of existence and uniqueness of the solution obtained by Hamburger are studied in this thesis by the use of orthogonal polynomials determined by a measure on real line. A chapter on the study of asymptotic behaviour of orthogonal functions on compact subsets of complex numbers is also included.

We investigate the truncated moment problem, especially the Carathéodory number, the set of atoms and determinacy.

One recipe for mathematically formulating a relativistic quantum mechanical scattering theory utilizes a two-Hilbert space approach, denoted by $\mathcal{H}$ and $\mathcal{H}_{0}$, upon each of which a unitary representation of the Poincaré Lie group is given. Physically speaking, $\mathcal{H}$ models a complicated interacting system of particles one wishes to understand, and $\mathcal{H}_{0}$ an associated simpler (i.e., free/noninteracting) structure one uses to construct 'asymptotic boundary conditions" on so-called scattering states in $\mathcal{H}$. Simply put, $\mathcal{H}_{0}$ is an attempted idealization of $\mathcal{H}$ one hopes to realize in the large time limits $t\rightarrow\pm\infty$. The above considerations lead to the study of the existence of strong limits of operators of the form $e^{iHt}Je^{-iH_{0}t}$, where $H$ and $H_{0}$ are self-adjoint generators of the time translation subgroup of the unitary representations of the Poincaré group on $\mathcal{H}$ and $\mathcal{H}_{0}$, and $J$ is a contrived mapping from $\mathcal{H}_{0}$ into $\mathcal{H}$ that provides the internal structure of the scattering asymptotes. The existence of said limits in the context of Euclidean quantum theories (satisfying precepts known as the Osterwalder-Schrader axioms) depends on the choice of $J$ and leads to a marvelous connection between this formalism and a beautiful area of classical mathematical analysis known as the Stieltjes moment problem, which concerns the relationship between numerical sequences $\{\mu_{n}\}_{n=0}^{\infty}$ and the existence/uniqueness of measures $\alpha(x)$ on the half-line satisfying \begin{equation*} \mu_{n}=\int_{0}^{\infty}x^{n}d\alpha(x). \end{equation*}

Inverse problems naturally occur in many branches of science and mathematics. An inverse problem entails finding the values of one or more parameters using the values obtained from observed data. A typical example of an inverse problem is the inversion of the Radon transform. Here a function (for example of two variables) is deduced from its integrals along all possible lines. This problem is intimately connected with image reconstruction for X-ray computerized tomography. Moment problems are a special class of inverse problems. While the classical theory of moments dates back to the beginning of the 20th century, the systematic study of truncated moment problems began only a few years ago. In this dissertation we will first survey the elementary theory of truncated moment problems, and then focus on those problems with cubic column relations. For a degree 2n real d-dimensional multisequence β ≡ β (2n) ={β i}i∈Zd+,|i|≤2n to have a representing measure μ, it is necessary for the associated moment matrix Μ(n) to be positive semidefinite, and for the algebraic variety associated to β, Vβ, to satisfy rank Μ(n)≤ card Vβ as well as the following consistency condition: if a polynomial p(x)≡ ∑|i|≤2naixi vanishes on Vβ, then Λ(p):=∑|i|≤2naiβi=0. In 2005, Professor Raúl Curto collaborated with L. Fialkow and M. Möller to prove that for the extremal case (Μ(n)= Vβ), positivity and consistency are sufficient for the existence of a (unique, rank Μ(n)-atomic) representing measure. In joint work with Professor Raúl Curto we have considered cubic column relations in M(3) of the form (in complex notation) Z3=itZ+ubar Z, where u and t are real numbers. For (u,t) in the interior of a real cone, we prove that the algebraic variety Vβ consists of exactly 7 points, and we then apply the above mentioned solution of the extremal moment problem to obtain a necessary and sufficient condition for the existence of a representing measure. This requires a new representation theorem for sextic polynomials in Z and bar Z which vanish in the 7-point set Vβ. Our proof of this representation theorem relies on two successive applications of the Fundamental Theorem of Linear Algebra. Finally, we use the Division Algorithm from algebraic geometry to extend this result to other situations involving cubic column relations.

Nous abordons l'étude de deux problèmes inverses, le problème des moments de Hausdorff et celui de la déconvolution sur la sphère ainsi qu'un problème de régression en design aléatoire. Le problème des moments de Hausdorff consiste à estimer une densité de probabilité à partir d'une séquence de moments bruités. Nous établissons une borne supérieure pour notre estimateur ainsi qu'une borne inférieure pour la vitesse de convergence, démontrant ainsi que notre estimateur converge à la vitesse optimale pour les classes de régularité de type Sobolev. Quant au problème de déconvolution sur la sphère, nous proposons un nouvel algorithme qui combine la méthode SVD traditionnelle et une procédure de seuillage dans la base des Needlets sphériques. Nous donnons une borne supérieure en perte Lp et menons une étude numérique qui montre des résultats fort prometteurs. Le problème de la régression en design aléatoire est abordé sous le prisme bayésien et sur la base des ondelettes déformées. Nous considérons deux scenarios de modèles a priori faisant intervenir des gaussiennes à faible et à grande variance et fournissons des bornes supérieures pour l'estimateur de la médiane a posteriori. Nous menons aussi une étude numérique qui révèle de bonnes performances numériques.

Moment Problems with Applications to Value-At-Risk and Portfolio Management By Ruilin Tian May 2008 Committee Chair: Dr. Samuel H. Cox Major Department: Risk Management and Insurance My dissertation provides new applications of moment theory and optimization to financial and insurance risk management. In the investment and managerial areas, one often needs to determine some measure of risk, especially the risk of extreme events. However, complete information of the underlying outcomes is usually unavailable; instead one has access to partial information such as the mean, variance, mode, or range. In Chapters 2 and 3, we find the semiparametric upper and lower bounds for the value-at-risk (VaR) with incomplete information, that is, moments of the underlying distribution. When a single variable is concerned, bounds on VaR are computed to obtain a 100% confidence interval. When the sample financial data have a global maximum, we show that unimodal assumption tightens the optimal bounds. Next we further analyze a function of two correlated random variables. Specifically, we find bounds on the probability of two joint extreme events. When three or more variables are involved, the multivariate problem can sometimes be converted to a single variable problem. In all cases, we use the physical measure rather than the commonly used equivalent pricing probability measure. In addition to solving these problems using the traditional approach based on the geometry of a moment problem, a more efficient method is proposed to solve a general class of moment bounds via semidefinite programming. In the last part of the thesis, we apply optimization techniques to improve financial portfolio risk management. Instead of considering VaR, we work with a coherent risk measure, the conditional VaR (CVaR). As an extension of Krokhmal et al. (2002), we impose CVaR-related functions to the portfolio selection problem. The CVaR approach sets a β-level CVaR as the objective function and maximizes the worst case on the tail of the distribution. The CVaR-like constraints approach adds a set of CVaR-like constraints to the traditional Markowitz problem, reshaping the portfolio distribution. Both methods greatly increase the skewness of portfolios, although the CVaR approach may lose control of the variance. This capability of increasing skewness is very attractive to the investors who may prefer higher probability of obtaining higher returns. We compare the CVaR-related approaches to some other popular portfolio optimization methods. Our numerical analysis provides empirical support for the superiority of the CVaR-like constraints approach in terms of portfolio efficiency.

Orientador: Cleonice Fátima Bracciali / Banca: Rosana Sueli da Motta Jafelice / Banca: Alagacone Sri Ranga / Resumo: O objetivo deste trabalho é estudar os polinômios de Szegõ, que são ortogonais no círculo unitário, e suas relações com certas frações contínuas de Perron-Carathéodory e quadratura no círculo unitário, afim de resolver o problema de momento trigonométrico. Além disso, estudar a utilização dos polinômios de Szegõ na determinação das freqüências de um sinal trigonométrico em tempo discreto xN(m). Para isso, investigamos os polinômios de Szegõ gerados por uma medida N definida através do sinal trigonométrico xN(m), para m = 0, 1, 2, ...N -1, e o comportamento dos zeros desses polinômios quando N_8. / Abstract: The purpose here is to study the orthogonal polynomials on the unit circle, known as Szegõ polynomials, and the relations to Perron- Carathéodory continued fractions, and quadratures on the unit circle in order to solve the trigonometric moment problem. Another purpose is to study how the Szegõ polynomials can be used to determine the frequencies from a discrete time trigonometric signal xN(m). We investigate the Szegõ polynomials associated with a measure N defined by the trigonometric sinal xN(m), m = 0, 1, 2, ...N -1. We study the behaviour of zeros of these polynomials when N 8. / Mestre

The present thesis intents on analysing the truncated matricial Hamburger power moment problem in the general (degenerate and non-degenerate) case. Initiated due to manifold lines of research, by this time, outnumbering results and thoughts have been established that are concerned with specific subproblems within this field. The resulting presence of such a diversity as well as an extensively considered topic si- multaneously involves advantageous as well as obstructive aspects: on the one hand, we adopt the favourable possibility to capitalise on essential available results that proved beneficial within subsequent research. Nevertheless, on the other hand, we are obliged to illustrate major preparatory work in order to illucidate the comprehension of the attaching examination. Moreover, treating the matricial cases of the respective problems requires meticulous technical demands, in particular, in view of the chosen explicit approach to solving the considered tasks. Consequently, the first part of this thesis is dedicated to furnishing the necessary basis arranging the prime results of this research paper. Compul- sary notation as well as objects are introduced and thoroughly explained. Furthermore, the required techniques in order to achieve the desired results are characterised and ex- haustively discussed. Concerning the respective findings, we are afforded the opportunity to seise presentations and results that are, by this time, elaborately studied. Being equipped with mandatory cognisance, the thematically bipartite second and pivo- tal part objectives to describe all the possible values of all the solution functions of the truncated matricial Hamburger power moment problem M P [R; (s j ) 2n j=0 , ≤]. Aming this, we realise a first paramount achievement epitomising one of the two parts of the main results: Capturing an established representation of the solution set R 0,q [Π + ; (s j ) 2n j=0 , ≤] of the assigned matricial Hamburger moment problem via operating a specific algorithm of Schur-type, we expand these findings. We formulate a parameterisation of the set R 0,q [Π + ; (s j ) 2n j=0 , ≤] which is compatible with establishing respective equivalence classes within a certain subset of Nevanlinna pairs and utilise specific systems of orthogonal polynomials in order to entrench novel representations. In conclusion, we receive a para- meterisation that is valid within the entire upper open complex half-plane Π + . The second of the two prime parts changes focus to analysing all possible values of the functions belonging to R 0,q [Π + ; (s j ) 2n j=0 , ≤] in an arbitrary point w ∈ Π + . We gain two decisive conclusions: We identify these respective values to exhaust particular matrix balls 2n K[(s j ) 2n j=0 , w] := {F (w) | F ∈ R 0,q [Π + ; (s j ) j=0 , ≤]} the parameters of which are feasable to being described by specific rational matrix-valued functions and, in this course, enhance formerly established analyses. Moreover, we compile an alternative representation of the semi-radii constructing the respective matrix balls which manifests supportive in further consideration. We seise the achieved parameterisation of the set K[(s j ) 2n j=0 , w] and examine the behaviour of the respective sequences of left and right semi-radii. We recognise that these sequences of semi-radii associated with the respective matrix balls in the general case admit a particular monotonic behaviour. Consequently, with increasing number of given data, the resulting matrix balls are identified as being nested. Moreover, a proper description of the limit case of an infinite number of prescribed moments is facilitated.:1. Brief Historic Embedding and Introduction 2. Part I: Initialising Compulsary Cognisance Arranging Principal Achievements 2.1. Notation and Preliminaries 2.2. Particular Classes of Holomorphic Matrix-Valued Functions 2.3. Nevanlinna Pairs 2.4. Block Hankel Matrices 2.5. A Schur-Type Algorithm for Sequences of Complex p × q Matrices 2.6. Specific Matrix Polynomials 3. Part II: Momentous Results and Exposition – Improved Parameterisations of the Set R 0,q [Π + ; (s j ) 2n j=0 , ≤] 3.1. An Essential Step to a Parameterisation of the Solution Set R 0,q [Π + ; (s j ) 2n j=0 , ≤] 3.2. Parameterisation of the Solution Set R 0,q [Π + ; (s j ) 2n j=0 3.3. Particular Matrix Polynomials 3.4. Description of the Solution Set of the Truncated Matricial Hamburger Moment Problem by a Certain System of Orthogonal Matrix Polynomials 4. Part III: Prime Results and Exposition – Novel Description Balls 4.1. Particular Rational Matrix-Valued Functions 4.2. Description of the Values of the Solutions 4.3. Monotony of the Semi-Radii and Limit Balls of the Weyl Matrix 5. Summary of Principal Achievements and Prospects A. Matrix Theory B. Integration Theory of Non-Negative Hermitian Measures

The thesis studies truncated moment problems and related reconstruction techniques. It transfers the main aspects of Prony's method from finitely-supported measures to the classes of signed or non-negative measures supported on algebraic varieties of any dimension. The Zariski closure of the support of these measures is shown to be determined by finitely many moments and can be computed from the kernel of moment matrices. Moreover, several reconstruction algorithms are developed which are based on the computation of generalized eigenvalues and allow to recover the components of mixtures of such measures.

Συνδέουμε τα Συνεχή Κλάσματα με τα Ορθογώνια Πολυώνυμα. Ξεκινώντας από τον Stieltjes και το ομώνυμο "Πρόβλημα Ροπών", φτάνουμε μέχρι τις μέρες μας μελετώντας αυτή τη σχέση με μεθόδους Συναρτησιακής Ανάλυσης. / We study the connection between Continued Fractions and Orthogonal Polynomials. We start from Stieltjes and his "Moment Problem". Then we present Chain sequences, methods of Functional Analysis and the Birth-Death processes.