Kac’s moment formula and the Feynman–Kac formula for additive functionals of a Markov process
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چکیده
منابع مشابه
Kac’s moment formula and the Feynman–Kac formula for additive functionals of a Markov process
Mark Kac introduced a method for calculating the distribution of the integral Av= ∫ T 0 v(Xt) dt for a function v of a Markov process (Xt; t¿0) and a suitable random time T , which yields the Feynman–Kac formula for the moment-generating function of Av. We review Kac’s method, with emphasis on an aspect often overlooked. This is Kac’s formula for moments of Av, which may be stated as follows. F...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1999
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(98)00081-7