5 citations · 19 across the 13 of their papers we have counts for
14 papers
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…
Estimation of parameters and local times in a discretely observed threshold diffusion model
Sara Mazzonetto, Paolo Pigato
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift…
Maximum likelihood estimator for skew Brownian motion: the convergence rate
Antoine Lejay, Sara Mazzonetto
We give a thorough description of the asymptotic property of the maximum likelihood estimator (MLE) of the skewness parameter of a Skew Brownian Motion (SBM). Thanks to recent resu…
Beyond the delta method
Antoine Lejay, Sara Mazzonetto
We give an asymptotic development of the maximum likelihood estimator (MLE), or any other estimator defined implicitly, in a way which involves the limiting behavior of the score a…
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…
Rates of convergence to the local time of Oscillating and Skew Brownian Motions
Sara Mazzonetto
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of th…
On moments and strong local Hölder regularity of solutions of stochastic differential equations and of their spatial derivative processes
Anselm Hudde, Martin Hutzenthaler, Sara Mazzonetto
Spatial differentiability of solutions of stochastic differential equations (SDEs) is a classical question in stochastic analysis. The case of coefficients with globally Lipschitz…
A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
Anselm Hudde, Martin Hutzenthaler, Sara Mazzonetto
There are numerous applications of the classical (deterministic) Gronwall inequality. Recently, Michael Scheutzow discovered a stochastic Gronwall inequality which provides upper b…
Existence, uniqueness, and numerical approximations for stochastic Burgers equations
Sara Mazzonetto, Diyora Salimova
In this paper we propose an all-in-one statement which includes existence, uniqueness, regularity, and numerical approximations of mild solutions for a class of stochastic partial…
Existence and uniqueness properties for solutions of a class of Banach space valued evolution equations
Arnulf Jentzen, Sara Mazzonetto, Diyora Salimova
In this note we provide a self-contained proof of an existence and uniqueness result for a class of Banach space valued evolution equations with an additive forcing term. The frame…
On the Itô-Alekseev-Gröbner formula for stochastic differential equations
Anselm Hudde, Martin Hutzenthaler, Arnulf Jentzen +1
In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an Itô process. T…
Strong convergence for explicit space-time discrete numerical approximation for 2D stochastic Navier-Stokes equations
Sara Mazzonetto
In this paper we show the strong convergence of a fully explicit space-time discrete approximation scheme for the solution process of the two-dimensional incompressible stochastic…
Exact simulation of Brownian diffusions with drift admitting jumps
David Dereudre, Sara Mazzonetto, Sylvie Roelly
In this paper, using an algorithm based on the retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We…
An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
David Dereudre, Sara Mazzonetto, Sylvie Roelly
In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Mo…