Weak Uniqueness for a PDE with Boundary Condition
Résumé
In a previous work Coutin and Pontier proved that the joint law of a diffusion and the running supremum of its first component is absolutely continuous and that its density satisfies a weak partial differential equation with boundary condition.
In this work, we prove uniqueness of the solution of that PDE.
Fichier principal
CoutinHuangPontier.pdf (269.53 Ko)
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CoutinHuangPontier (1).pdf (423.52 Ko)
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