Fitzsimmons, P. J.; Pitman, Jim - In: Stochastic Processes and their Applications 79 (1999) 1, pp. 117-134
Mark Kac introduced a method for calculating the distribution of the integral Av=[integral operator]0Tv(Xt) dt for a function v of a Markov process (Xt, t[greater-or-equal, slanted]0) and a suitable random time T, which yields the Feynman-Kac formula for the moment-generating function of Av. We...