The classical Hamburger moment problem can be formulated as follows: Given a sequence {cn:n=0,1,2,…} of real numbers, find necessary and sufficient conditions for the existence of a distribution function ψ (i.e. a bounded, real-valued, non-decreasing function) on (– ∞,∞) with infinitely many points of increase, such that , n = 0,1,2, … This problem was posed and solved by Hamburger [5] in 1921. The corresponding problem for functions ψ on the interval [0,∞) had already been treated by Stieltjes [15] in 1894. The characterizations were in terms of positivity of Hankel determinants associated with the sequence {cn}, and the original proofs rested on the theory of continued fractions. Much work has since been done on questions connected with these problems, using orthogonal functions and extension of positive definite functionals associated with the sequence. Accounts of the classical moment problems with later developments can be found in [1,4,14]. Good modern accounts of the theory of orthogonal polynomials can be found in [2,3].
On the moment problem for a finite interval
