2 citations · 5 across the 3 of their papers we have counts for
3 papers
math.PR2017★ 1 cited
Statistical estimation of the Oscillating Brownian Motion
Antoine Lejay, Paolo Pigato
We study the asymptotic behavior of estimators of a two-valued, discontinuous diffusion coefficient in a Stochastic Differential Equation, called an Oscillating Brownian Motion. Us…
math.PR2016★ 2 cited
Diffusions under a local strong Hörmander condition. Part II: tube estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the probability that a diffusion process in remains in a tube around a skeleton path up to a fixed time. We assume that the diffu…
math.PR2014★ 2 cited
Multi-scaling of moments in stochastic volatility models
Paolo Dai Pra, Paolo Pigato
We introduce a class of stochastic volatility models for which the absolute moments of the increments exhibit anomalous scaling: $\E\left(|X_{t+h} - X_t|^q \righ…