3 citations · 3 across the 5 of their papers we have counts for
5 papers
Weak uniqueness for the PDE governing the joint law of a diffusion and its running supremum
Laure Coutin, Lorick Huang, Monique Pontier
In a previous work [8], it was shown that the joint law of a diffusion process and the running supremum of its first component is absolutely continuous, and that its density satisf…
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…
Optimal Contract with Moral Hazard for Public Private Partnerships
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif +1
Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospit…
Reducing the debt : is it optimal to outsource an investment?
Gilles Edouard Espinosa, Caroline Hillairet, Benjamin Jourdain +1
We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the ex…
Estimation of the instantaneous volatility
A. Alvarez, F. Panloup, M. Pontier +1
This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: , where denotes the log-price…