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math.PR2016
Joint law of the hitting time, overshoot and undershoot for a Lévy process
Laure Coutin, Waly Ngom
Let be be a Lévy process which is the sum of a Brownian motion with drift and a compound Poisson process. We consider the first passage time at a fixed level…
math.PR2016★ 9 cited
Invariance for Rough Differential Equations
Laure Coutin, Nicolas Marie
In 1990, in Itô's stochastic calculus framework, Aubin and Da Prato established a necessary and sufficient condition of invariance of a nonempty compact or convex subset of $\m…