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Short Communications

Additive Functionals of a Wiener Process Determined by Stochastic Integrals

E. B. Dynkin

Moscow

Abstract: We give definitions of additive and almost additive functionals of Markov processes and prove a general theorem about such functionals. Then we investigate the additive functionals of the $n$-dimensional Wiener process determined by stochastic integrals.

Received: 18.01.1960

 English version: Theory of Probability and its Applications, 1960, 5:4, 402–410