3 papers
math.PR2026
Existence and uniqueness for singular stochastic differential equations with piecewise well-behaved coefficients
Sara Mazzonetto, Benoît Nieto
We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possi…
math.PR2024
On the number of crossings and bouncings of a diffusion at a sticky threshold
Alexis Anagnostakis, Sara Mazzonetto
In this paper, we study the asymptotic behavior of the number of crossings by a one-dimensional diffusion of a threshold where the process exhibits stickiness. We distinguish three…
math.PR2024
Sticky-threshold diffusions, local time approximation and parameter estimation
Alexis Anagnostakis, Sara Mazzonetto
We study a class of high-frequency path functionals for one-dimensional diffusions with singular thresholds or boundaries, allowing for skewness, discontinuities in the diffusion c…