75 citations · 236 across the 75 of their papers we have counts for
5 papers · 2 filters
A Central Limit Theorem for the stochastic heat equation
Jingyu Huang, David Nualart, Lauri Viitasaari
We consider the one-dimensional stochastic heat equation driven by a multiplicative space-time white noise. We show that the spatial integral of the solution from to conve…
On generalized ARCH model with stationary liquidity
Pauliina Ilmonen, Soledad Torres, Ciprian Tudor +2
We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary so…
Note on AR(1)-characterisation of stationary processes and model fitting
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen
It was recently proved that any strictly stationary stochastic process can be viewed as an autoregressive process of order one with coloured noise. Furthermore, it was proved that,…
Volatility estimation in fractional Ornstein-Uhlenbeck models
Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari
In this article we study the asymptotic behaviour of the realized quadratic variation of a process % , where is a -Hölder continuous process w…
Transfer Principle for nth Order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law
Tommi Sottinen, Lauri Viitasaari
The th order fractional Brownian motion was introduced by Perrin et al. It is the (upto a multiplicative constant) unique self-similar Gaussian process with Hurst index $H \in (…