29 citations · 73 across the 42 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
q-fin.MF2017
Conditional-Mean Hedging Under Transaction Costs in Gaussian Models
Tommi Sottinen, Lauri Viitasaari
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian moti…
math.ST2017★ 11 cited
On model fitting and estimation of strictly stationary processes
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sa…
math.PR2017
On modeling weakly stationary processes
Lauri Viitasaari, Pauliina Ilmonen
In this article, we show that a general class of weakly stationary time series can be modeled applying Gaussian subordinated processes. We show that, for any given weakly stationar…