On kac functionals of one-dimensional diffusions

M. Musiela

Stochastic Processes and their Applications, 1986, vol. 22, issue 1, 79-88

Abstract: This paper uses martingale calculus in order to study multiplicative Kac functionals. Probabilistic representation of a solution of the Schrodinger equation with non necessarily negative potential is obtained. Necessary and sufficient conditions for the a.s. convergence and the a.s. divergence of some integrals are given.

Keywords: stochastic; integrals; diffusion; processes; multiplicative; functionals; Schrodinger; operator (search for similar items in EconPapers)
Date: 1986
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