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math.PR2024
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Kostiantyn Ralchenko, Foad Shokrollahi, Tommi Sottinen
We establish the rate of convergence in the -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motio…
math.PR2023
Prediction of Gaussian Volterra Processes with Compound Poisson Jumps
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.