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arXiv · 1708.05667

A note on time-dependent additive functionals

Adrien Barrasso·Francesco Russo
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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.

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Adrien Barrasso, Francesco Russo. 2017-08-17. A note on time-dependent additive functionals. https://arxiv.org/abs/1708.05667

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