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

par Alexis Anagnostakis (Université Grenoble Alpes)

jeudi 9 févr. 2023, 14:00 → 15:00 Europe/Paris

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.