75 citations · 236 across the 75 of their papers we have counts for
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Integral representation of random variables with respect to Gaussian processes
Lauri Viitasaari
It was shown in Mishura et al. (Stochastic Process. Appl. 123 (2013) 2353-2369), that any random variable can be represented as improper pathwise integral with respect to fractiona…
Pathwise integrals and Ito-Tanaka Formula for Gaussian processes
Tommi Sottinen, Lauri Viitasaari
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stocha…
Note on multidimensional Breeden-Litzenberger representation for state price densities
Jarno Talponen, Lauri Viitasaari
In this note, we consider European options of type depending on several underlying assets. We give a multidimensional version of the result of Breed…
Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
Ehsan Azmoodeh, Lauri Viitasaari
Fractional Ornstein-Uhlenbeck process of the second kind is solution of the Langevin equation wit…