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Additive Functionals with Jumps

In principle, the moments of an additive functional with jumps can be found by the same method. The formulae are not as simple however, because diagonal terms (which vanish in the continuous case) now appear in (17). The same thing happens in discrete time analogs of Kac's formulae discussed in the next subsection.



Patrick Fitzsimmons
Wed May 17 08:50:36 PDT 2000