PDE for the joint law of the pair of a continuous diffusion and its running maximum

DOI10.1017/apr.2022.76arXiv2301.02442OpenAlexW2892531076MaRDI QIDQ6198067

Monique Pontier, Laure Coutin

Publication date: 20 February 2024

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2301.02442

zbMATH Keywords

diffusion processpartial differential equationrunning supremum processjoint law

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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