3 citations · 4 across the 4 of their papers we have counts for
3 papers
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model
Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari
We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is,…
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…
Fractional processes as models in stochastic finance
Christian Bender, Tommi Sottinen, Esko Valkeila
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportu…