Transfer principle for fractional Ornstein–Uhlenbeck processes

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dc.contributor.authorSottinen, Tommi
dc.contributor.authorViitasaari, Lauri
dc.date.accessioned2026-08-10T06:44:10Z
dc.date.issued2026
dc.description.abstractWe prove the transfer principle for fractional Ornstein–Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein–Uhlenbeck process and then represent the fractional Ornstein–Uhlenbeck process by using the constructed Brownian motion. As applications of the transfer principle, we consider data-driven prediction by providing both prediction laws and consistent parameter estimation.en
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|
dc.format.pagerange189-198
dc.identifier.citationSottinen, T., & Viitasaari, L. (2026). Harnessing legal system complexity for radical shifts to sustainability. Theory of Probability and Mathematical Statistics, 114, 189-198. https://doi.org/10.1038/s41893-026-01809-8
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/21147
dc.identifier.urnURN:NBN:fi-fe20260810116238
dc.language.isoen
dc.publisherAmerican mathematical society
dc.relation.doihttps://doi.org/10.1090/tpms/1259
dc.relation.ispartofjournalTheory of probability and mathematical statistics
dc.relation.issn1547-7363
dc.relation.issn0094-9000
dc.relation.urlhttps://doi.org/10.1090/tpms/1259
dc.relation.urlhttps://urn.fi/URN:NBN:fi-fe20260810116238
dc.relation.volume114
dc.rightshttps://creativecommons.org/licenses/by/4.0/
dc.rights.copyright© 2026 American Mathematical Society. First published in Theory of Probability and Mathematical Statistics, 114 (June 4, 2026), published by the American Mathematical Society. This accepted manuscript has been published under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
dc.source.identifierWOS:001787512300001
dc.source.identifier2-s2.0-105038102111
dc.source.identifier845218d5-5044-4fe2-afd3-2abc5cd2a426
dc.source.metadataSoleCRIS
dc.subjectFractional Brownian motion
dc.subjectfractional Ornstein–Uhlenbeck process
dc.subjectLangevin equation
dc.subjectprediction
dc.subjecttransfer principle
dc.subject.disciplinefi=Matemaattiset tieteet|en=Mathematics|
dc.titleTransfer principle for fractional Ornstein–Uhlenbeck processes
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)|en=A1 Journal article (peer-reviewed)|
dc.type.publicationarticle
dc.type.versionacceptedVersion

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