We establish a novel duality relationship between continuous and discrete non-negative additive functionals of stochastic (not necessarily Markovian) processes and their right inverses. For general Markov processes, we further extend and develop a theoretical and computational framework for the...

We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates and constant volatility in the terminal measure. The model is shown to have two distinct limiting states, corresponding to small and asymptotically large volatilities,...