A moment problem for random discrete measures

Let $X$ be a locally compact Polish space. A random measure on $X$ is a probability measure on the space of all (nonnegative) Radon measures on $X$. Denote by $\mathbb K(X)$ the cone of all Radon measures $\eta$ on $X$ which are of the form $\eta=\sum_{i}s_i\delta_{x_i}$, where, for each $i$, $s_i>0$ and $\delta_{x_i}$ is the Dirac measure at $x_i\in X$. A random discrete measure on $X$ is a probability measure on $\mathbb K(X)$. The main result of the paper states a necessary and sufficient condition (conditional upon a mild a priori bound) when a random measure $\mu$ is also a random discrete measure. This condition is formulated solely in terms of moments of the random measure $\mu$. Classical examples of random discrete measures are completely random measures and additive subordinators, however, the main result holds independently of any independence property. As a corollary, a characterisation via a moments is given when a random measure is a point process.

PDF Abstract