The Feynman-Kac formula and decomposition of Brownian paths

The Feynman-Kac formula and decomposition of Brownian paths

Report Number
471
Authors
M. Jeanblanc and J. Pitman and M. Yor
Citation
Comput. Appl. Math. 16, 27-52, 1997
Abstract

This paper describes connections between the Feynman-Kac formula, related Sturm-Liouville equations, and various decompositions of Brownian paths into independent components.

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