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papers

Publications (37)

math.PR2015

Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions

Tommi Sottinen, Lauri Viitasaari

math.PR2015

Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model

Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari

math.PR2018

Volatility estimation in fractional Ornstein-Uhlenbeck models

Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari

math.PR2015

Sufficient and Necessary Conditions for Limit Theorems for Quadratic Variations of Gaussian Sequences

Lauri Viitasaari

math.PR2014

Integral representation with adapted continuous integrand with respect to fractional Brownian motion

Georgiy Shevchenko, Lauri Viitasaari

math.PR2015

A general approach to small deviation via concentration of measures

Ehsan Azmoodeh, Lauri Viitasaari

math.PR2014

Pathwise integrals and Ito-Tanaka Formula for Gaussian processes

Tommi Sottinen, Lauri Viitasaari

math.PR2019

On the regularity of complex multiplicative chaos

Janne Junnila, Eero Saksman, Lauri Viitasaari

math.PR2019

Oscillating Gaussian Processes

Pauliina Ilmonen, Soledad Torres, Lauri Viitasaari

math.PR2016

Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise

Tommi Sottinen, Lauri Viitasaari

math.PR2014

Multidimensional Breeden-Litzenberger representation for state price densities and static hedging

Jarno Talponen, Lauri Viitasaari

q-fin.MF2017

Conditional-Mean Hedging Under Transaction Costs in Gaussian Models

Tommi Sottinen, Lauri Viitasaari

math.PR2019

Stochastic Differential Equations with Discontinuous Diffusions

Soledad Torres, Lauri Viitasaari

math.PR2016

Aspects of Stochastic Integration with Respect to Processes of Unbounded p-variation

Zhe Chen, Lauri Viitasaari

math.PR2014

Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes

Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari +1

math.PR2019

Integration-by-Parts Characterizations of Gaussian Processes

Ehsan Azmoodeh, Tommi Sottinen, Ciprian A. Tudor +1

math.ST2018

On model fitting and estimation of strictly stationary processes

Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen

math.PR2016

A general non-existence result for linear BSDEs driven by Gaussian processes

Christian Bender, Lauri Viitasaari

math.PR2014

Pathwise stochastic integrals and Itô formula for multidimensional Gaussian processes

Zhe Chen, Lauri Viitasaari

math.PR2018

Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes

Zhe Chen, Lasse Leskelä, Lauri Viitasaari

math.PR2018

A Central Limit Theorem for the stochastic heat equation

Jingyu Huang, David Nualart, Lauri Viitasaari

math.PR2013

Rate of convergence for discrete approximation of option prices

Lauri Viitasaari

math.PR2016

Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean

Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari

math.PR2019

Gaussian fluctuations for the stochastic heat equation with colored noise

Jingyu Huang, David Nualart, Lauri Viitasaari +1

math.PR2018

On generalized ARCH model with stationary liquidity

Pauliina Ilmonen, Soledad Torres, Ciprian Tudor +2

math.PR2018

Transfer Principle for nth Order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law

Tommi Sottinen, Lauri Viitasaari

math.PR2014

Adapted integral representations of random variables

Georgiy Shevchenko, Lauri Viitasaari

math.PR2014

Note on multidimensional Breeden-Litzenberger representation for state price densities

Jarno Talponen, Lauri Viitasaari

math.PR2016

Integral representation of random variables with respect to Gaussian processes

Lauri Viitasaari

stat.ME2019

Non-parametric Structural Change Detection in Multivariate Systems

Pekka Malo, Lauri Viitasaari, Olga Gorskikh +1

math.PR2015

Representation of stationary and stationary increment processes via Langevin equation and self-similar processes

Lauri Viitasaari

math.PR2012

Rate of convergence for discretization of integrals with respect to Fractional Brownian motion

Lauri Viitasaari, Ehsan Azmoodeh

math.PR2019

Prediction Law of Mixed Gaussian Volterra Processes

Tommi Sottinen, Lauri Viitasaari

math.PR2016

Stochastic Analysis of Gaussian Processes via Fredholm Representation

Tommi Sottinen, Lauri Viitasaari

math.PR2017

Prediction Law of fractional Brownian Motion

Tommi Sottinen, Lauri Viitasaari

math.PR2014

Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

Ehsan Azmoodeh, Lauri Viitasaari

q-fin.PR2012

Option prices with call prices

Lauri Viitasaari