2 papers
math.PR2026
On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes
Dirk Becherer, Thomas Bernhardt, Pavel Gapeev
We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's…
math.PR2025
Rough backward SDEs with discontinuous Young drivers
Dirk Becherer, Yuchen Sun
We study solutions to backward differential equations that are driven hybridly by a deterministic discontinuous rough path of finite -variation for and by Bro…