Sara Mazzonetto

Since September 2020 I am maîtresse de conférences at the Institut de mathématiques Élie Cartan Lorraine, Université de Lorraine (site de Nancy). Since December 2021 I am member of the Inria PASTA team.

(Previous affiliations: University of Potsdam, University of Duisburg-Essen, University of Lille, see the dedicated page.)

My research interests in keywords

I mainly work in Stochastic Analysis and my research interests are considered sometimes borderline into Numerical Analysis but I focus on the theoretical probabilistic point of view.

SDEs with singular coefficients: Skew Brownian motion, local time, oscillating Brownian motion, Brownian diffusions with discontinuous coefficients, exact simulation, MLE, CLT.

S(P)DEs with non-globally monotone coefficients: Existence and moments of derivative processes, convergence for (space-time discrete) approximation methods, perturbation theory, stochastic calculus, Gronwall-type inequalities.

Publications and other documents

Publications

Maximum likelihood estimator for skew Brownian motion: the convergence rate. Scandinavian Journal of Statistics Vol. 51, Issue 2, 612-642, 2024 (with Antoine Lejay). Journal page, Arxiv: 2302.02954
Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations --alias Estimating the drift of the threshold Vasicek model. Statistica Sinica 34 , No. 1, 313-336, 2024 (with Paolo Pigato). Journal page (main document and supplementary material)
On the Itô-Alekseev-Gröbner formula for stochastic differential equations. Ann. Inst. H. Poincaré Probab. Statist. Vol. 60, No.2, 904-922, 2024 (with Anselm Hudde, Martin Hutzenthaler, and Arnulf Jentzen). Arxiv: 1812.09857
A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, perturbations. Ann. Inst. H. Poincaré Probab. Statist. Vol. 57, No. 2, 603–626, 2021 (with Anselm Hudde and Martin Hutzenthaler). Arxiv: 1903.08727, journal page.
On an approximation of 2-D stochastic Navier-Stokes equations, Proceedings of the XI international conference Stochastic and Analytic Methods in Mathematical Physics, Lectures in Pure and Applied Mathematics (6), Potsdam University Press, 87-96, 2020. Article.
Existence, uniqueness, and numerical approximations for stochastic Burgers equations, Stochastic Analysis and Applications, 38:4, 623-646, 2020 (with Diyora Salimova). Journal and arxiv version.
Exact simulation of Brownian diffusions with drift admitting jumps, SIAM Journal on Scientific Computing, Vol. 39, No.3, A711-A740, 2017 (with David Dereudre and Sylvie Roelly). Journal and arxiv version.
An explicit representation of the transition densities of the skew brownian motion with drift and two semipermeable barriers, Monte Carlo Methods Appl., Vol.22, No.1, 1-23, 2016 (with David Dereudre and Sylvie Roelly). Journal and arxiv version.

Arxiv preprints

Beyond the delta method (with Antoine Lejay). Arxiv: 2207.13954
Estimation of parameters and local times in a discretely observed threshold diffusion model (with Paolo Pigato). Arxiv:2403.06858
Existence and uniqueness properties for solutions of a class of Banach space valued evolution equations (with Arnulf Jentzen and Diyora Salimova). Arxiv: 1812.06859
On moments and strong local Hölder regularity of solutions of stochastic differential equations and of their spatial derivative processes (with Anselm Hudde and Martin Hutzenthaler). Arxiv: 1903.09707
On the number of crossings and bouncings of a diffusion at a sticky threshold (with Alexis Anagnostakis). Arxiv:2411.08846
Parameters estimation of a Threshold CKLS process from continuous and discrete observations (with Benoit Nieto). Hal-04524431v2
Rates of convergence to the local time of Oscillating and Skew Brownian Motions. Arxiv: 1912.04858
Sticky-threshold diffusions, local time approximation and parameter estimation (with Alexis Anagnostakis). Arxiv:2403.08754
Strong convergence for explicit space-time discrete numerical approximation for two-dimensional stochastic Navier-Stokes equations. Arxiv: 1809.01937

Ph.D. thesis

On the Exact Simulation of (Skew) Brownian Diffusions with Discontinuous Drift (Link to the thesis and to the beamer presentation used for the defence). The thesis was defended in November 2016 in Potsdam. My supervisors are Prof. Dr. Sylvie Roelly at the Universität Potsdam and Prof. Dr. David Dereudre at Universitè de Lille 1 (in cotutelle).

Publikationspreis für Nachwuchswissenschaftler/innen des Leibniz-Kolleg Potsdam

I have been awarded the "Publikationspreis" (prize for publications) 2017 during the annual meeting of the Leibniz-Kolleg on April 27th, 2017. See the description of the event, in german, clicking this link or this other link.

Some other document and publication

Poster presented in Bogotà, december 2016
Local volatility (Beamer) for the talk at the Berlin-Paris Workshop, November 2016
Project ``Il cielo come laboratorio": Fotometria e diagramma H-R di Leo I e II, due galassie nane del Gruppo Locale. Il cielo come laboratorio Ed. VII, 2008. (with A. Baggio, G. Baso, D. De Pazzi, S. Mazzonetto, N. Pasini, L. Scotton).