3 citations · 4 across the 5 of their papers we have counts for
4 papers · 1 filter
On the conditional small ball property of multivariate Lévy-driven moving average processes
Mikko S. Pakkanen, Tommi Sottinen, Adil Yazigi
We study whether a multivariate Lévy-driven moving average process can shadow arbitrarily closely any continuous path, starting from the present value of the process, with positive…
Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes
Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari +1
The continuity of Gaussian processes is extensively studied topic and it culminates in the Talagrand's notion of majorizing measures that gives complicated necessary and sufficient…
Representation of self-similar Gaussian processes
Adil Yazigi
We develop the canonical Volterra representation for a self-similar Gaussian process by using the Lamperti transformation of the corresponding stationary Gaussian process, where th…
Generalized Gaussian Bridges
Tommi Sottinen, Adil Yazigi
A generalized bridge is the law of a stochastic process that is conditioned on N linear functionals of its path. We consider two types of representations of such bridges: orthogona…