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math.PR2023
Transfer principle for fractional Ornstein-Uhlenbeck processes
Tommi Sottinen, Lauri Viitasaari
We prove the transfer principle for fractional Ornstein-Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein-Uhlenbeck…
math.PR2023
Discretisation error for stochastic integrals with respect to the fractional Brownian motion with discontinuous integrands and local times
Valentin Garino, Lauri Viitasaari
We consider equidistant Riemann approximations of stochastic integrals with respect to the fractional Brownian motion with , where is an ar…
math.PR2023
On Lamperti transformation and characterisations of discrete random fields
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen
In this article we characterise discrete time stationary fields by difference equations involving stationary increment fields and self-similar fields. This gives connections betwee…