Local time approximation in parameter estimation for skew-sticky diffusions

06.02.2023, 13:00  –  Campus Golm, Haus 9, Raum 2.22
Forschungsseminar Wahrscheinlichkeitstheorie

Sara Mazzonetto (Univ. de Lorraine, Nancy)

In this seminar we first describe a class of real Markov processes with continuous sample paths which
shows singular behavior at a point, let us say barrier. The barrier is semi-permeable or sticky. Starting from
an observation of a trajctory, it is natural to try to detect these behaviors, which are encoded in some
parameters. The approximation of the local time allows us to construct estimators for the parameters and to show asymptotic mixed normality properties.This talk is partially based on a joint work with A. Anagnostakis.

The Zoom-access data are available under FS_22-23