PDE for the joint law of the pair of a continuous diffusion and its running maximum
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Publication:6198067
DOI10.1017/apr.2022.76arXiv2301.02442OpenAlexW2892531076MaRDI QIDQ6198067
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
Extreme value theory; extremal stochastic processes (60G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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