2 citations · 2 across the 10 of their papers we have counts for
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Lamperti scaling for fractional Gaussian processes with non-stationary increments
Foad Shokrollahi, Saeed Vahdati
The Lamperti transform offers a powerful bridge between self-similar processes and stationary dynamics, making it especially useful for analyzing anomalous diffusion models that la…
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…
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.
Long-range dependent completely correlated mixed fractional Brownian motion
Josephine Dufitinema, Foad Shokrollahi, Tommi Sottinen +1
In this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motio…