Pré-Publication, Document De Travail Année : 2023

WEAK UNIQUENESS FOR THE PDE GOVERNING THE JOINT LAW OF A DIFFUSION AND ITS RUNNING SUPREMUM

Résumé

In a previous work [8], it was shown that the joint law of a diffusion process and the running supremum of its first component is absolutely continuous, and that its density satisfies a non standard weak partial differential equation (PDE). In this paper, we establish the uniqueness of the solution to this PDE, providing a more complete understanding of the system’s behavior and further validating the approach introduced in [8].

Fichier principal
Vignette du fichier
CoutinHuangPontier.pdf (269.53 Ko) Télécharger le fichier
CoutinHuangPontier (1).pdf (423.52 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence

Dates et versions

hal-04029092 , version 1 (14-03-2023)
hal-04029092 , version 2 (16-01-2025)

Licence

Identifiants

  • HAL Id : hal-04029092 , version 1

Citer

Laure Coutin, Lorick Huang, Monique Pontier. WEAK UNIQUENESS FOR THE PDE GOVERNING THE JOINT LAW OF A DIFFUSION AND ITS RUNNING SUPREMUM. 2023. ⟨hal-04029092v1⟩
154 Consultations
345 Téléchargements

Partager

  • More