Yes, with some limitations.
See How do I change user after login (e.g. su root)? and
https://winscp.net/eng/docs/rawsettings#sftpserver

Do we have an option to do sudo through programming as well?

Thanks mate, appreciate it.

To recursively delete a folder, use Session.RemoveFiles.
https://winscp.net/eng/docs/library_session_removefiles

Hello,

I have a c# program to find the folders in the FTP server older than X days but I couldn't find an option to delete the folders(non empty).

Can you please help me with the function?

Thanks,
Karthick