75 citations · 236 across the 75 of their papers we have counts for
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Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
Zhe Chen, Lasse Leskelä, Lauri Viitasaari
In this article we study the existence of pathwise Stieltjes integrals of the form for nonrandom, possibly discontinuous, evaluation functions and Hölder c…
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…
Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean
Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari
We first study the drift parameter estimation of the fractional Ornstein-Uhlenbeck process (fOU) with periodic mean for every . More precisely, we extend the consi…
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…