3 citations · 7 across the 5 of their papers we have counts for
5 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,…
Convergence towards linear combinations of chi-squared random variables: a Malliavin-based approach
Ehsan Azmoodeh, Giovanni Peccati, Guillaume Poly
We investigate the problem of finding necessary and sufficient conditions for convergence in distribution towards a general finite linear combination of independent chi-squared ran…
A general approach to small deviation via concentration of measures
Ehsan Azmoodeh, Lauri Viitasaari
We provide a general approach to obtain upper bounds for small deviations in different norms, namely the supremum and - Hölder norms. The larg…
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…
On the fractional Black-Scholes market with transaction costs
Ehsan Azmoodeh
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with…