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Adrien Hardy
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Consider a probability measure $\mu$ on, let's say, $\mathbb R$.

Is there a necessary and sufficient condition so that $\mu$ has compact support $Supp(\mu)$ ?

I agree this question is too vague, and it may tempting to answer it by quoting the definition of compactness for the support, so let me be more precise.

Imagine you know the Fourrier transform $F_\mu$ of $\mu$ (which contains all the information concerning $\mu$), that is $$ F_\mu(t)=\int e^{itx}\mu(dx),\qquad t\in\mathbb R, $$ or its Cauchy-Stieltjes transform $C_\mu$ (similar story), i.e. $$ C_\mu(z)=\int \frac{\mu(dx)}{z-x},\qquad z\in {\mathbb C }\setminus Supp(\mu), $$ is there any (necessary and) sufficient condition on $F_\mu$ or $C_\mu$ to force $Supp(\mu)$ to be a compact set ?

Consider a probability measure $\mu$ on, let's say, $\mathbb R$.

Is there a necessary and sufficient condition so that $\mu$ has compact support $Supp(\mu)$ ?

I agree this question is too vague, and it may tempting to answer it by quoting the definition of compactness for the support, so let me be more precise.

Imagine you know the Fourrier transform $F_\mu$ of $\mu$, that is $$ F_\mu(t)=\int e^{itx}\mu(dx),\qquad t\in\mathbb R, $$ or its Cauchy-Stieltjes transform $C_\mu$, i.e. $$ C_\mu(z)=\int \frac{\mu(dx)}{z-x},\qquad z\in {\mathbb C }\setminus Supp(\mu), $$ is there any (necessary and) sufficient condition on $F_\mu$ or $C_\mu$ to force $Supp(\mu)$ to be a compact set ?

Consider a probability measure $\mu$ on, let's say, $\mathbb R$.

Is there a necessary and sufficient condition so that $\mu$ has compact support $Supp(\mu)$ ?

I agree this question is too vague, and it may tempting to answer it by quoting the definition of compactness for the support, so let me be more precise.

Imagine you know the Fourrier transform $F_\mu$ of $\mu$ (which contains all the information concerning $\mu$), that is $$ F_\mu(t)=\int e^{itx}\mu(dx),\qquad t\in\mathbb R, $$ or its Cauchy-Stieltjes transform $C_\mu$ (similar story), i.e. $$ C_\mu(z)=\int \frac{\mu(dx)}{z-x},\qquad z\in {\mathbb C }\setminus Supp(\mu), $$ is there any (necessary and) sufficient condition on $F_\mu$ or $C_\mu$ to force $Supp(\mu)$ to be a compact set ?

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Adrien Hardy
  • 2.1k
  • 17
  • 21

A sufficient condition for a probability measure to have compact support

Consider a probability measure $\mu$ on, let's say, $\mathbb R$.

Is there a necessary and sufficient condition so that $\mu$ has compact support $Supp(\mu)$ ?

I agree this question is too vague, and it may tempting to answer it by quoting the definition of compactness for the support, so let me be more precise.

Imagine you know the Fourrier transform $F_\mu$ of $\mu$, that is $$ F_\mu(t)=\int e^{itx}\mu(dx),\qquad t\in\mathbb R, $$ or its Cauchy-Stieltjes transform $C_\mu$, i.e. $$ C_\mu(z)=\int \frac{\mu(dx)}{z-x},\qquad z\in {\mathbb C }\setminus Supp(\mu), $$ is there any (necessary and) sufficient condition on $F_\mu$ or $C_\mu$ to force $Supp(\mu)$ to be a compact set ?