A note on time-dependent additive functionals

2017/08/17 by Barrasso, Adrien, Russo, Francesco
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1708.05667

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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