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].
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CoutinHuangPontier (1).pdf (423.52 Ko)
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