Functional convergence to the local time of a sticky diffusion (Q6165991)

The first goal of the paper is the proof of necessary conditions for the statistic of sticky Itô diffusions to converge to its local time. The second is the consistency of a stickiness parameter estimator built upon the local time approximation. The author proves this for the sticky Brownian motion. Then, he extends the result to Itô diffusions with a sticky point. The extension is done with stochastic calculus arguments using a path-wise formulation of the processes (see, also [\textit{M. Salins} and \textit{K. Spiliopoulos}, Stoch. Dyn. 17, No. 6, Article ID 1750042, 21 p. (2017; Zbl 1372.60118)]). The path-wise formulation of sticky Ito diffusions generalizes results in [\textit{H.-J. Engelbert} and \textit{G. Peskir}, Stochastics 86, No. 6, 993--1021 (2014; Zbl 1337.60120)] for the sticky Brownian motion and [\textit{Y. Nie} and \textit{V. Linetsky}, Stoch. Models 36, No. 1, 1--19 (2020; Zbl 1434.60217)] for the Ornstein-Uhlenbeck process with sticky reflection. At the end of paper, the author considers numerical simulations to assess the asymptotic behavior of the local time approximation and the stickiness parameter estimator. The space-time Markov chain approximation (STMCA Algorithm) is used.