112 citations · 479 across the 30 of their papers we have counts for
12 papers · 1 filter
Wasserstein error estimates between telegraph processes and Brownian motion
Gerardo Barrera, Jani Lukkarinen, Mikko S. Pakkanen
We provide non-asymptotic error bounds in the path Wasserstein distance with quadratic integral cost between suitable functionals of the telegraph process and the corresponding fun…
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
Yuan Li, Mikko S. Pakkanen, Almut E. D. Veraart
In this article we will introduce the realised semicovariance for Brownian semistationary (BSS) processes, which is obtained from the decomposition of the realised covariance matri…
Limit Theorems for Trawl Processes
Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri +1
In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{iΔ_{n}})_{i=0}^{\lfloor…
Hybrid marked point processes: characterisation, existence and uniqueness
Maxime Morariu-Patrichi, Mikko S. Pakkanen
We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such…
Pathwise large deviations for the Rough Bergomi model
Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the no…
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…
Hybrid scheme for Brownian semistationary processes
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We…
Functional limit theorems for generalized variations of the fractional Brownian sheet
Mikko S. Pakkanen, Anthony Réveillac
We prove functional central and non-central limit theorems for generalized variations of the anisotropic -parameter fractional Brownian sheet (fBs) for any natural number . W…
Limit theorems for power variations of ambit fields driven by white noise
Mikko S. Pakkanen
We study the asymptotics of lattice power variations of two-parameter ambit fields driven by white noise. Our first result is a law of large numbers for power variations. Under a c…
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen +1
This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are bas…
Brownian semistationary processes and conditional full support
Mikko S. Pakkanen
In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales,…
Stochastic integrals and conditional full support
Mikko S. Pakkanen
We present conditions that imply the conditional full support (CFS) property, introduced by Guasoni, Rásonyi, and Schachermayer [Ann. Appl. Probab., 18 (2008), pp. 491--520], for p…