Sticky-threshold diffusions, local time approximation and parameter estimation - IPS
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.
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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 2

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