| Publication | Date of Publication | Type |
|---|
On the existence and regularity of local times
Electronic Journal of Probability | 2024-10-07 | Paper |
On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
Journal of Theoretical Probability | 2024-04-02 | Paper |
Long-range dependent completely correlated mixed fractional Brownian motion
Stochastic Processes and their Applications | 2024-03-04 | Paper |
Efficient simulation of mixed boundary value problems and conformal mappings
| 2023-12-23 | Paper |
Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
Modern Stochastics. Theory and Applications | 2023-11-16 | Paper |
Transfer principle for fractional Ornstein-Uhlenbeck processes
| 2023-11-01 | Paper |
Prediction of Gaussian Volterra Processes with Compound Poisson Jumps
| 2023-10-09 | Paper |
On the existence and regularity of local times
| 2022-11-02 | Paper |
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
Communications in Statistics. Simulation and Computation | 2022-10-18 | Paper |
On optimal prediction of missing functional data with memory
| 2022-08-21 | Paper |
The characterization of Brownian motion as an isotropic i.i.d.-component Lévy process
| 2022-05-09 | Paper |
Decomposition formula for rough Volterra stochastic volatility models
International Journal of Theoretical and Applied Finance | 2021-06-18 | Paper |
Efficient simulation of the Schrödinger equation with a piecewise constant positive potential
Mathematics and Computers in Simulation | 2021-03-02 | Paper |
Integration-by-parts characterizations of Gaussian processes
Collectanea Mathematica | 2021-02-17 | Paper |
Yukawa potential, panharmonic measure and Brownian motion
Axioms | 2020-03-20 | Paper |
Prediction law of mixed Gaussian Volterra processes
Statistics & Probability Letters | 2020-01-20 | Paper |
Transfer principle for \(n\)th order fractional Brownian motion with applications to prediction and equivalence in law
Theory of Probability and Mathematical Statistics | 2019-08-21 | Paper |
CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
Prediction law of fractional Brownian motion
Statistics & Probability Letters | 2017-12-22 | Paper |
Hedging in fractional Black-Scholes model with transaction costs
Statistics & Probability Letters | 2017-10-06 | Paper |
Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence
Methodology and Computing in Applied Probability | 2017-08-14 | Paper |
On the conditional small ball property of multivariate Lévy-driven moving average processes
Stochastic Processes and their Applications | 2017-02-14 | Paper |
Stochastic analysis of Gaussian processes via Fredholm representation
International Journal of Stochastic Analysis | 2017-02-07 | Paper |
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
Modern Stochastics. Theory and Applications | 2016-11-15 | Paper |
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions
Modern Stochastics. Theory and Applications | 2016-11-15 | Paper |
Pathwise integrals and Itô-Tanaka formula for Gaussian processes
Journal of Theoretical Probability | 2016-06-27 | Paper |
Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise
| 2016-03-01 | Paper |
Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
Bayesian Analysis | 2016-02-16 | Paper |
Efficient simulation of Schr\"odinger equation with piecewise constant positive potential
| 2015-12-03 | Paper |
Obituary: Esko Valkeila 1951--2012
Arkhimedes | 2014-11-18 | Paper |
Necessary and sufficient conditions for Hölder continuity of Gaussian processes
Statistics & Probability Letters | 2014-11-03 | Paper |
Generalized Gaussian bridges
Stochastic Processes and their Applications | 2014-09-02 | Paper |
Lipschitz conditions for \(\mathrm{sub}_\phi(\Omega)\)-processes: applications to weakly self-similar processes with stationary increments
Theory of Probability and Mathematical Statistics | 2012-02-19 | Paper |
Fractional processes as models in stochastic finance
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Conditional full support of Gaussian processes with stationary increments
Journal of Applied Probability | 2011-07-08 | Paper |
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty
Statistics & Decisions | 2011-03-29 | Paper |
Parameter estimation for stochastic equations with additive fractional Brownian sheet
Statistical Inference for Stochastic Processes | 2011-02-05 | Paper |
scientific article; zbMATH DE number 5608367 (Why is no real title available?)
| 2009-09-29 | Paper |
Pricing by hedging and no-arbitrage beyond semimartingales
Finance and Stochastics | 2009-08-08 | Paper |
Gaussian bridges
| 2008-01-17 | Paper |
scientific article; zbMATH DE number 5220411 (Why is no real title available?)
| 2007-12-16 | Paper |
On the equivalence of multiparameter Gaussian processes
Journal of Theoretical Probability | 2007-02-14 | Paper |
Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach
Methodology and Computing in Applied Probability | 2006-01-17 | Paper |
scientific article; zbMATH DE number 2169747 (Why is no real title available?)
| 2005-05-20 | Paper |
On Gaussian processes equivalent in law to fractional Brownian motion
Journal of Theoretical Probability | 2004-08-06 | Paper |
On arbitrage and replication in the fractional Black–Scholes pricing model
Statistics & Decisions | 2004-05-18 | Paper |
scientific article; zbMATH DE number 1995739 (Why is no real title available?)
| 2003-10-22 | Paper |
Path space large deviations of a large buffer with Gaussian input traffic
Queueing Systems | 2002-12-15 | Paper |
Fractional Brownian motion, random walks and binary market models
Finance and Stochastics | 2001-12-12 | Paper |
Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
| N/A | Paper |
