Feynman-Kac penalization problem for additive functionals with jumping functions

Masakuni Matsuura

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Feynman-Kac penalization problem for additive functionals with jumping functions

机译：具有跳跃函数的加性泛函的Feynman-Kac惩罚问题

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摘要

Takeda ([30]) solved the Feynman-Kac penalization problem for positive continuous additive functionals. We extend his result to additive functionals with jumps. We further give concrete examples of jumping functions.

机译：武田（[30]）解决了正连续添加剂功能的费曼-卡克罚分问题。我们将他的结果扩展到带有跳跃的加法功能。我们进一步给出跳跃函数的具体例子。

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来源
《Journal of the Mathematical Society of Japan》 |2014年第1期|223-245|共23页
作者
Masakuni Matsuura;
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作者单位

Tohoku University Mathematical Institute Aoba 6-3, Aramaki, Aoba-ku Sendai 980-8578, Japan;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
symmetric stable process; Girsanov transform; additive functional; gauge-ability; Kato class; Chacon-Ornstein type ergodic theorem; semimartingale; Doleans-Dade formula;

机译：对称稳定过程Girsanov变换;附加功能可测量性加藤班Chacon-Ornstein型遍历定理;半mart道林·戴德公式;

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8. Diffusion Approximation of Stochastic Additive Functionals of Jump MarkovProcesses [R] . Korolyuk, V. V. 1991

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Feynman-Kac penalization problem for additive functionals with jumping functions

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