A note on time-dependent additive functionals
Probability
2017-08-21 v1
Abstract
This note develops shortly the theory of time-inhomogeneous additive functionals and is a useful support for the analysis of time-dependent Markov processes and related topics. It is a significant tool for the analysis of BSDEs in law. In particular we extend to a non-homogeneous setup some results concerning the quadratic variation and the angular bracket of Martin-gale Additive Functionals (in short MAF) associated to a homogeneous Markov processes.
Cite
@article{arxiv.1708.05667,
title = {A note on time-dependent additive functionals},
author = {Adrien Barrasso and Francesco Russo},
journal= {arXiv preprint arXiv:1708.05667},
year = {2017}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1701.02899