The Feynman-Kac formula with a Lebesgue-Stieltjes measure: An integral equation in the general case (Q911001)

Let \[ F(x)= \exp(\int_{[a,t)}\theta (s,x(s))\eta (ds)) \] be a ``functional'' on a Wiener space associated with the ``potential'' \(\theta\) and the Lebesgue-Stieltjes measure \(\eta\) on the time interval \([a,b]\). Define \[ K^ t_{\lambda}(F)(\psi)(\xi)=\int_{C_ 0}F(\lambda^{-1/2}x+\xi)\psi (\lambda^{-1/2}x(t)+\xi)m(dx), \] where \(C_ 0\) denotes the space of continuous functions on [a,b] vanishing at 0 and m is the Wiener measure on \(C_ 0\). Consider the operator-valued function \(u(t)=(K^ t_{\lambda}(F))^*\), where * denotes the adjoint. The main result of the paper establishes that \(u(\cdot)\) satisfies the following Volterra-Stieltjes integral equation on \([a,b]\) (Theorem 4.3): \[ u(t)=e^{-(t-a)(H_ 0/\lambda)}+ \int_{[a,t)} e^{-(t-s)(H_ 0/\lambda)}\theta_{\phi,\eta}(s)\eta(ds), \] where \(-H_ 0\) is the Laplacian or ``free Hamiltonian'' in \(L^ 2({\mathbb{R}}^ N)\) and \(\theta_{\phi,\eta}= \phi(\eta(s)\theta(s))\theta(s)\) with \(\phi(z)=(e^ z-1)/z\) and \(\phi(0)=1\).