2 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.ST2025
Parameters estimation of a Threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
Sara Mazzonetto, Benoît Nieto
We consider a continuous time process that is self-exciting and ergodic, called threshold Chan-Karolyi-Longstaff-Sanders (CKLS) process. This process is a generalization of various…