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SUMMARY:The number of crossings statistics in local time estimation for St
 icky-threshold diffusions - Sara Mazzonetto (Université de Lorraine)
DTSTART:20240806T130000Z
DTEND:20240806T140000Z
UID:TALK215665@talks.cam.ac.uk
DESCRIPTION:The renormalized number of crossings statistics is known to be
  a local time estimator of the local time for Brownian motion whose trajec
 tory is observed in high-frequency. Instead of Brownian motion\, we consid
 er some one-dimensional diffusions whose behavior is perturbed by the pres
 ence of a barrier-point. The perturbation nature\, that is partial-reflect
 ion (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 asympt
 otically 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. Anagnost
 akis (LJK Grenoble).
LOCATION:External
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