Mrs. Sara Mazzonetto | The number of crossings statistics in local time estimation for Sticky
35 بار بازدید -
دیروز
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Speaker: Mrs Sara Mazzonetto (Université
Speaker: Mrs Sara Mazzonetto (Université de Lorraine)
Date: 6th Aug 2024 - 14:00 to 15:00
Venue: External
Title: The number of crossings statistics in local time estimation for Sticky-threshold diffusions
Event: (SSDW02) Stochastic reflection
Abstract: The renormalized number of crossings statistics is known to be a local time estimator of the local time for Brownian motion whose trajectory is observed in high-frequency. Instead of Brownian motion, we consider some one-dimensional diffusions whose behavior is perturbed by the presence of a barrier-point. The perturbation nature, that is partial-reflection (skew BM) or stickiness, is encoded by parameters.In the case of skew BM, the number of crossings is renormalized (as for BM) and it converges towards the local time with a non standard rate of 1/4. It follows asymptotically a a mixed normal law. In case of sticky behavior these results do not hold anymore, different scalings rise up according to the definition of crossings.This talk is partially based on joint works with A. Anagnostakis (LJK Grenoble).
🔗| Seminar Link: www.newton.ac.uk/seminar/42730/
🔗| Workshop Link: www.newton.ac.uk/event/SSDW02/
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در تاریخ 1403/07/09 منتشر شده
است.
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