The Markov-Krein transform maps a positive measure on the real line to a probability measure. It is implicitly defined through an identity linking two holomorphic functions. In this paper an explicit formula is given. Its proof is obtained by considering boundary values of holomorhic functions. This transform appears in several classical questions in analysis and probability theory: Markov moment problem, Dirichlet distributions and processes, orbital measures. An asymptotic property for this transform involves Thorin-Bondesson distributions.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-cm6235-10-2015,
author = {Jacques Faraut and Faiza Fourati},
title = {Markov-Krein transform},
journal = {Colloquium Mathematicae},
volume = {144},
year = {2016},
pages = {137-156},
zbl = {06574997},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-cm6235-10-2015}
}
Jacques Faraut; Faiza Fourati. Markov-Krein transform. Colloquium Mathematicae, Tome 144 (2016) pp. 137-156. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-cm6235-10-2015/