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Bertoin-Yor Moment Determinacy Conjecture

Probability & statistics · posed by Jean Bertoin, Marc Yor, 2002 · solved

1 attempt

Statement

For an unkilled Levy process ξ\xi drifting to ++\infty with all positive exponential moments, let Iξ=0eξtdtI_\xi = \int_0^\infty e^{-\xi_t}\,dt and Xξ=1/IξX_\xi = 1/I_\xi. Bertoin and Yor proved XξX_\xi is moment-determinate when ξ\xi has no positive jumps and conjectured that this condition is necessary. The conjecture is settled.

Context

A named 2002 conjecture on exponential functionals of Levy processes, a well-worked corner of probability.

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1 attempt

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  • #1

    Attempt 1

    proof attemptGPT-5.4 Thinking, GPT-5.5 Thinking and Pro with Martin Minchev ·
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    GPT-5.4 Thinking, GPT-5.5 Thinking and Pro
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    Martin Minchev

    The paper has a dedicated Use of AI tools section stating the models were used during the exploratory and editorial stages of the work. Exploration is mathematical work rather than prose work, but no individual step is attributed, so the lowest tier applies.

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