A discrete Feynman-Kac formula

Research output: Contribution to journalArticle

4 Citations (Scopus)


An analogue of the Feynman-Kac formula is studied for a simple symmetric random walk. By passing to the limit we obtain the Feynman-Kac formula for Brownian motion. Several examples are discussed.

Original languageEnglish
Pages (from-to)63-73
Number of pages11
JournalJournal of Statistical Planning and Inference
Issue number1
Publication statusPublished - Jan 1993


  • Wiener process
  • difference equation
  • differential equation
  • random walk

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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