Prediction of Gaussian Volterra processes with compound Poisson jumps

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annif.suggestionsstochastic processes|Gaussian processes|mathematics|probability calculation|differential equations|normal distribution|financial markets|mathematical statistics|statistics (discipline)|motion|enen
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dc.contributor.authorMaleki Almani, Hamidreza
dc.contributor.authorShokrollahi, Foad
dc.contributor.authorSottinen, Tommi
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0002-3071-4982-
dc.contributor.orcidhttps://orcid.org/0000-0003-1434-0949-
dc.contributor.orcidhttps://orcid.org/0000-0002-9983-9708-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2024-04-03T06:22:05Z
dc.date.accessioned2025-06-25T13:12:28Z
dc.date.available2024-04-03T06:22:05Z
dc.date.issued2024-01-23
dc.description.abstractWe consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.-
dc.description.notification© 2024 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent8-
dc.identifier.olddbid20234
dc.identifier.oldhandle10024/17099
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1699
dc.identifier.urnURN:NBN:fi-fe2024040314326-
dc.language.isoeng-
dc.publisherElsevier-
dc.relation.doi10.1016/j.spl.2024.110054-
dc.relation.ispartofjournalStatistics & Probability Letters-
dc.relation.issn1879-2103-
dc.relation.issn0167-7152-
dc.relation.urlhttps://doi.org/10.1016/j.spl.2024.110054-
dc.relation.volume208-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:001167873800001-
dc.source.identifierScopus:85183169474-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/17099
dc.subjectFractional Brownian motion-
dc.subjectGaussian Volterra process-
dc.subjectPrediction law-
dc.subjectCompound Poisson process-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.titlePrediction of Gaussian Volterra processes with compound Poisson jumps-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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