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20152025
most citedOn the Itô-Alekseev-Gröbner formula for stochastic differential equations

5 citations · 19 across the 13 of their papers we have counts for

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math.PR2020★ 1 cited

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…