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Journal Articles Communications on Stochastic Analysis Year : 2017

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.
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Dates and versions

hal-01574964 , version 1 (17-08-2017)

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Adrien Barrasso, Francesco Russo. A note on time-dependent additive functionals. Communications on Stochastic Analysis, 2017, 11 (3), pp.313-334. ⟨10.31390/cosa.11.3.04⟩. ⟨hal-01574964⟩
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