Sticky-threshold diffusions, local time approximation and parameter estimation - Archive ouverte HAL
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 a diffusion with a sticky-oscillating-skew (SOS) threshold, including the case of a sticky-reflection, and establish convergence to the local time. This extends existing results on sticky, oscillating (regime-switching) and skew or reflecting diffusions in several directions. First, it considers any normalizing sequence that diverges slower than n. Second, it allows combinations of these features. Based on this, and an approximation of the occupation time, we devise consistent skew and stickiness parameter estimators.
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Dates et versions

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

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  • HAL Id : hal-04503682 , version 1

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Sara Mazzonetto, Alexis Anagnostakis. Sticky-threshold diffusions, local time approximation and parameter estimation. 2024. ⟨hal-04503682v1⟩
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