15 citations · 18 across the 3 of their papers we have counts for
6 papers
Random variables as pathwise integrals with respect to fractional Brownian motion
Yuliya Mishura, Georgiy Shevchenko, Esko Valkeila
We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand can have any prescribed distribution, moreover, we give both ne…
Initial Enlargement in a Markov chain market model
Dario Gasbarra, José Igor Morlanes, Esko Valkeila
Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with in…
When does fractional Brownian motion not behave as a continuous function with bounded variation?
Ehsan Azmoodeh, Heikki Tikanmäki, Esko Valkeila
If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form a…
Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion
Ehsan Azmoodeh, Esko Valkeila
Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid…
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…
An extension of the Lévy characterization to fractional Brownian motion
Yuliya Mishura, Esko Valkeila
Assume that is a continuous square integrable process with zero mean, defined on some probability space . The classical characterization due to P.…