Kac's moment formula for additive functionals of a Markov process

Kac's moment formula for additive functionals of a Markov process

Report Number
427
Authors
Jim Pitman
Citation
Annals of Probability 25, pages 855-900 (1997)
Abstract

Mark Kac introduced a method for calculating the distribution of the integral $A_v = \int_0^T v(X_t) dt$ for a function $v$ of a Markov process $(X_t, t \ge 0 )$, and suitable random $T$, which yields the Feynman-Kac formula for the moment-generating function of $A_v$. This paper reviews Kac's method, with emphasis on an aspect often overlooked. This is Kac's formula for moments of $A_v$ which may be stated as follows. For any random time $T$ such that the killed process $(X_t, 0 \le t <T)$ is Markov with some substochastic semi-group $K_t(x,dy) = P_x(X_t \in dy, T > t)$, and any non-negative measurable $v$, for $X$ with initial distribution $\lambda$ the $n$th moment of $A_v$ is $P_\lambda A_v^n = n! \lambda (G M_v) ^n 1 $ where $G = \int_{0}^\infty K_t dt$ is the Green's operator of the killed process, $M_v$ is the operator of multiplication by $v$, and $1$ is the function that is identically 1.

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