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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…
math.PR2013
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…