A note on time-dependent additive functionals

Adrien Barrasso; Francesco Russo

doi:10.31390/cosa.11.3.04

A note on time-dependent additive functionals

Adrien Barrasso
, Francesco Russo

Unité de Mathématiques Appliquées

Research output: Contribution to journal › Article › peer-review

Abstract

This note develops shortly the theory of non-homogeneous 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 Markovian BSDEs in law. In particular we extend to a non-homogeneous setup some results concerning the quadratic variation and the angular bracket of Martingale Additive Functionals (in short MAF) associated to a homogeneous Markov processes.

Original language	English
Pages (from-to)	313-334
Number of pages	22
Journal	Communications on Stochastic Analysis
Volume	11
Issue number	3
DOIs	https://doi.org/10.31390/cosa.11.3.04
Publication status	Published - 1 Jan 2017

Keywords

Additive functionals
Covariation
Markov processes

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10.31390/cosa.11.3.04

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KW - Covariation

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A note on time-dependent additive functionals

Abstract

Keywords

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