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January, 2014 Feynman-Kac penalization problem for additive functionals with jumping functions
J. Math. Soc. Japan 66(1): 223-245 (January, 2014). DOI: 10.2969/jmsj/06610223


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.


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Masakuni MATSUURA. "Feynman-Kac penalization problem for additive functionals with jumping functions." J. Math. Soc. Japan 66 (1) 223 - 245, January, 2014.


Published: January, 2014
First available in Project Euclid: 24 January 2014

zbMATH: 1292.60083
MathSciNet: MR3161399
Digital Object Identifier: 10.2969/jmsj/06610223

Primary: 60J75
Secondary: 60H20 , 60J57

Keywords: additive functional , Chacon-Ornstein type ergodic theorem , Doléans-Dade formula , gaugeability , Girsanov transform , Kato class , Semimartingale , Symmetric stable process

Rights: Copyright © 2014 Mathematical Society of Japan

Vol.66 • No. 1 • January, 2014
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