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math.PR2023
Invertibility of functionals of the Poisson process and applications
Laure Coutin, Laurent Decreusefond
Following previous investigations by {Ü}st{ü}nel [22] about the invertibility of some transformations on the Wiener space, we find some entropic conditions under which a random cha…
math.PR2023
PDE for the joint law of the pair of a continuous diffusion and its running maximum
Laure Coutin, Monique Pontier
Let X be a d-dimensional diffusion and M the running supremum of its first component. In this paper, we show that for any t > 0, the density (with respect to the d + 1-dimensional…