Séminaire de Probabilités commun ICJ/UMPA

Local time approximation for sticky diffusions and estimation of the stickiness parameter

by Alexis Anagnostakis (Université Grenoble Alpes)

ICJ (Braconnier) Salle Fokko du CLoux

ICJ (Braconnier) Salle Fokko du CLoux

We prove the convergence of a class of high frequency path-functionals of a sticky diffusion to its local time. First, we prove this for the sticky Brownian motion. Then, we extend the result to diffusions with a sticky point. We combine the local time approximation with an approximation of the occupation time to set up a consistent stickiness estimator. Last, we numerically assess the properties of the stickiness estimator and the local time approximation.