OSUVA - Selaus tekijän "Viitasaari, Lauri" mukaan
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Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
(VTeX, 11.05.2015)
articleWe study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional ... -
Conditional-mean hedging under transaction costs in Gaussian models
(World Scientific Publishing Company, 02.04.2018)
articleWe consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian ... -
Fredholm representation of multi-parameter Gaussian processes with applications to equivalence in law and series expansions
(VTeX, 2015)
articleWe show that every multiparameter Gaussian process with integrable variance function admits a Wiener integral representation of Fredholm type with respect to the Brownian sheet. The Fredholm kernel in the ... -
Long-range dependent completely correlated mixed fractional Brownian motion
(Elsevier, 23.12.2023)
articleIn this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motion (Bm) and a long-range dependent completely ... -
Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes
(Vaasan yliopisto, 2013)
working papers -
Parameter estimation for the Langevin equation with stationary-increment Gaussian noise
(Springer, 24.01.2017)
articleWe study the Langevin equation with stationary-increment Gaussian noise. We show the strong consistency and the asymptotic normality with Berry–Esseen bound of the so-called second moment estimator of the mean reversion ... -
Prediction law of fractional Brownian motion
(Elsevier, 01.10.2017)
articleWe calculate the regular conditional future law of the fractional Brownian motion with index H ∈(0, 1) conditioned on its past. We show that the conditional law is continuous with respect to the conditioning path. We ... -
Transfer Principle for nth order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law
(2018)
articleThe n-th order fractional Brownian motion was introduced by Perrin et al. [13]. It is the (up to a multiplicative constant) unique self-similar Gaussian process with the Hurst index H∈(n-1,n), having n-th order stationary ...
