5 citations · 23 across the 28 of their papers we have counts for
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math.PR2016
Prediction Law of fractional Brownian Motion
Tommi Sottinen, Lauri Viitasaari
We calculate the regular conditional future law of the fractional Brownian motion with index conditioned on its past. We show that the conditional law is continuous wit…
math.PR2016
Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise
Tommi Sottinen, Lauri Viitasaari
We study the Langevin equation with stationary-increment Gaussian noise. We show the strong consistency and the asymptotic normality with Berry--Esseen bound of the so-called alter…
math.PR2016★ 1 cited
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…