Sticky-threshold diffusions, local time approximation and parameter estimation - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2024

Sticky-threshold diffusions, local time approximation and parameter estimation

Résumé

We study a class of high-frequency path functionals of diffusions with a singular threshold, including the case of sticky-reflection. The functionals are built upon a test function and a normalizing sequence. We prove convergence to the local time, advancing existing results on sticky, oscillating (regime-switching), and skew or reflecting diffusions. Notably, we consider any normalizing sequence that diverges slower than the observation frequency. Additionally, we allow for jointly sticky-oscillating-skew thresholds. Combining these findings with an approximation of the occupation time, we propose consistent estimators for skewness and stickiness parameters.
Fichier principal
Vignette du fichier
Consistency_local_time_SOS_diff-6.pdf (507.42 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04503682 , version 1 (13-03-2024)
hal-04503682 , version 2 (04-04-2024)

Licence

Paternité - Pas d'utilisation commerciale - Pas de modification

Identifiants

  • HAL Id : hal-04503682 , version 2

Citer

Sara Mazzonetto, Alexis Anagnostakis. Sticky-threshold diffusions, local time approximation and parameter estimation. 2024. ⟨hal-04503682v2⟩
0 Consultations
0 Téléchargements

Partager

Gmail Facebook X LinkedIn More