Critical quadratic potential for the Ornstein-Uhlenbeck generator

ID: critical-quadratic-potential-for-the-ornstein-uhlenbeck-generator

For and potential , the Feynman-Kac formula with initial value one gives . The Ornstein-Uhlenbeck likelihood relative to Wiener measure cancels the quadratic time integral, leaving a Gaussian endpoint integral. Completing the square gives the displayed answer for . It is finite for all nonnegative times when ; when the path expectation diverges at and beyond .

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