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Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations
Sara Mazzonetto, Paolo Pigato
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at…
math.PR2020
Density estimates and short-time asymptotics for a hypoelliptic diffusion process
Paolo Pigato
We study a system of differential equations, each in dimension . Only the first equation is forced by a Brownian motion and the dependence structure is such that, under a lo…