Zobrazeno 1 - 10
of 118
pro vyhledávání: '"Sottinen, Tommi"'
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed form for the jump-diffusion model, considering the Black-Scholes frame
Externí odkaz:
http://arxiv.org/abs/2408.10785
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
We establish the rate of convergence in the $L^1$-norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motion. Our findings extend the known results for the case when the driver
Externí odkaz:
http://arxiv.org/abs/2408.02449
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also inclu
Externí odkaz:
http://arxiv.org/abs/2401.05114
In this paper, we present a stochastic method for the simulation of Laplace's equation with a mixed boundary condition in planar domains that are polygonal or bounded by circular arcs. We call this method the Reflected Walk-on-Spheres algorithm. The
Externí odkaz:
http://arxiv.org/abs/2312.15382
Autor:
Sottinen, Tommi, Viitasaari, Lauri
We 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 b
Externí odkaz:
http://arxiv.org/abs/2311.00823
We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.
Externí odkaz:
http://arxiv.org/abs/2310.05675
Publikováno v:
Electron. J. Probab (2024)
We study the existence and regularity of local times for general $d$-dimensional stochastic processes. We give a general condition for their existence and regularity properties. To emphasize the contribution of our results, we show that they include
Externí odkaz:
http://arxiv.org/abs/2211.01464
We consider equidistant approximations of stochastic integrals driven by H\"older continuous Gaussian processes of order $H>\frac12$ with discontinuous integrands involving bounded variation functions. We give exact rate of convergence in the $L^1$-d
Externí odkaz:
http://arxiv.org/abs/2209.06708
This paper considers the problem of reconstructing missing parts of functions based on their observed segments. It provides, for Gaussian processes and arbitrary bijective transformations thereof, theoretical expressions for the $L^2$-optimal reconst
Externí odkaz:
http://arxiv.org/abs/2208.09925
Publikováno v:
In Stochastic Processes and their Applications April 2024 170