A note on time-dependent additive functionals

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.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [19 references]  Display  Hide  Download

https://hal-ensta-paris.archives-ouvertes.fr//hal-01574964
Contributor : Francesco Russo <>
Submitted on : Thursday, August 17, 2017 - 9:41:35 AM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM

Files

AdditiveFunctionals.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01574964, version 1
  • ARXIV : 1708.05667

Citation

Adrien Barrasso, Francesco Russo. A note on time-dependent additive functionals. 2017. ⟨hal-01574964⟩

Share

Metrics

Record views

460

Files downloads

182