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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

4 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	313-334
Nombre de pages	22
journal	Communications on Stochastic Analysis
Volume	11
Numéro de publication	3
Les DOIs	https://doi.org/10.31390/cosa.11.3.04
état	Publié - 1 janv. 2017

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10.31390/cosa.11.3.04

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title = "A note on time-dependent additive functionals",

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.",

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KW - Additive functionals

KW - Covariation

KW - Markov processes

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A note on time-dependent additive functionals

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