Feynman-Kac penalization problem for additive functionals with jumping functions

Masakuni Matsuura

doi:10.2969/jmsj/06610223

Journal of the Mathematical Society of Japan

Online ISSN : 1881-1167
Print ISSN : 0025-5645
ISSN-L : 0025-5645

Feynman-Kac penalization problem for additive functionals with jumping functions

Masakuni Matsuura

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

JOURNAL FREE ACCESS

2014 Volume 66 Issue 1 Pages 223-245

DOI https://doi.org/10.2969/jmsj/06610223

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Abstract

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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