A note on harmonic continuation of characteristic function

2020/09/09 by Саулюс Норвидас, Norvidas, Saulius
Economics, Econometrics and Finance · Physics and Astronomy · Computer Science · #Stochastic processes and financial applications #Statistical Mechanics and Entropy #Bayesian Methods and Mixture Models

paper · pdf · doi:10.48550/arxiv.2009.04449

Abstract

We propose a necessary and sufficient condition for a real-valued function on the real line to be a characteristic function of a probability measures. The statement is given in terms of harmonic functions and completely monotonic functions.

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