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

Let u(t) be the operator associated by path integration with the Feynman-Kac functional in which the time integration is performed with respect to an arbitrary Borel measure instead of ordinary Lebesgue measurel. We show that u(t), considered as a function of time t, satisfies a Volterra-Stieltjes integral equation, denoted by (*). We refer to this result as the Feynman-Kac formula with a Lebesgue-Stieltjes measure. Indeed, when n=l, we recover the classical Feynman-Kac formula since (*) then yields the heat (resp., Schrödinger) equation in the diffusion (resp., quantum mechanical) case. We stress that the measure is in general the sum of an absolutely continuous, a singular continuous and a (countably supported) discrete part. We also study various properties of (*) and of its solution. These results extend and use previous work of the author dealing with measures having finitely supported discrete part (Stud. Appl. Math.76 (1987), 93–132); they seem to be new in the diffusion (or imaginary time) as well as in the quantum mechanical (or real time) case.Research partially supported by the National Science Foundation under Grant DMS 8703138. This work was also supported in part by NSF Grant 8120790 at the Mathematical Sciences Research Institute in Berkeley, U.S.A., the CNPq and the Organization of Latin American States at theInstituto de Matemática Pura E Aplicada (IMPA) in Rio de Janeiro, Brazil, as well as theUniversité Pierre et Marie Curie (Paris VI) and the Université Paris Dauphine in Paris, France.