Lauri Viitasaari

Updated August 2019. For preprints, see below and also my ArXiv page.

Journal articles

  1. Sottinen, T., Viitasaari, L. (2019). Prediction Law of Mixed Gaussian Volterra Processes. Statistics and Probability Letters. DOI:https://doi.org/10.1016/j.spl.2019.108594.

  2. Huang, J., Nualart, D., Viitasaari, L., Zheng, G. (2019). Gaussian fluctuations for the stochastic heat equation with colored noise. Stochastics and Partial Differential Equations: Analysis and Computations. DOI:https://doi.org/10.1007/s40072-019-00149-3.

  3. Viitasaari, L. (2019). Sufficient and necessary conditions for limit theorems for quadratic variations of Gaussian sequences. Probability Surveys, 16:62--98.

  4. Voutilainen, M., Viitasaari, L., Ilmonen, P. (2019). Note on AR(1)-characterisation of stationary processes and model fitting. Modern Stochastics: Theory and Applications, 6(2):195--207.

  5. Chen, Z., Leskelä, L., Viitasaari, L. (2019). Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes. Stochastic Processes and Their Applications, 129(8):2723--2757.

  6. Voutilainen, M., Viitasaari, L., Ilmonen, P. (2019). On model fitting and estimation of strictly stationary processes. Modern Stochastics: Theory and Applications, 4(4):381--406.

  7. Sottinen, T., Viitasaari, L. (2018). Conditional-Mean Hedging Under Transaction Costs in Gaussian Models. International Journal of Theoretical and Applied Finance. DOI:https://doi.org/10.1142/S0219024918500152

  8. Sottinen, T., Viitasaari, L. (2018). Transfer Principle for nth Order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law. Theory of Probability and Mathematical Statistics, 98:188--204.

  9. Sottinen, T., Viitasaari, L. (2018). Parameter Estimation for the Langevin Equation with Stationary-Increment Gaussian Noise. Statistical Inference for Stochastic Processes, 21(3):569--601.

  10. Sottinen, T., Viitasaari, L. (2017). Prediction law of fractional Brownian motion. Statistics and Probability Letters, 129:155-166.

  11. Bender, C., Viitasaari, L. (2017). A general non-existence result for linear BSDEs driven by Gaussian processes. Stochastic Processes and Their Applications, 127(4):1204--1233.

  12. Bajja, S., Es-Sebaiy, K., Viitasaari, L. (2017). Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean. Journal of the Korean Statistical Society, 46(4):608--622.

  13. Sottinen, T., Viitasaari, L. (2016). Stochastic analysis of Gaussian processes via Fredholm representation. International Journal of Stochastic Analysis. DOI:10.1155/2016/8694365.

  14. Viitasaari, L. (2016). Representation of stationary and stationary increment processes via Langevin equation and self-similar processes. Statistics and Probability Letters, 115:45-53.

  15. Sottinen, T., Viitasaari, L. (2016). Pathwise integrals and Ito-Tanaka Formula for Gaussian processes. Journal of Theoretical Probability, 29(2): 590-616.

  16. Viitasaari, L. (2016). Integral representation of random variables with respect to Gaussian processes. Bernoulli, 22(1): 376-395.

  17. Azmoodeh, E., Viitasaari, L. (2015). Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind. Statistical Inference for Stochastic Processes, 18(3):205-227.

  18. Azmoodeh, E., Sottinen, T., Viitasaari, L. (2015). Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model. Modern Stochastics: Theory and Applications 2(1):29-49.

  19. Azmoodeh, E., Viitasaari, L. (2015). Rate of convergence for discretization of integrals with respect to Fractional Brownian motion. Journal of Theoretical Probability, 28(1):396-422.

  20. Viitasaari, L. (2015). A remark on option prices with call prices. Journal of Mathematical Sciences 2(3):97-105.

  21. Shevchenko, G., Viitasaari, L. (2014). Integral representation with adapted continuous integrand with respect to fractional Brownian motion. Stochastic Analysis and Applications, 32:1-10.

  22. Azmoodeh, E., Sottinen, T., Viitasaari, L., Yazigi, A. (2014). Necessary and Sufficient Conditions for Hölder Continuity of Gaussian Processes. Statistics and Probability Letters, 94:230-235.

  23. Talponen, J., Viitasaari, L. (2014). Note on multidimensional Breeden-Litzenberger representation for state price densities. Mathematics and Financial Economics, 8:153-157.

Conference proceedings

  1. Bajja, S., Es-Sebaiy, K., Viitasaari, L. (2018). Limit theorems for quadratic variations of the Lei-Nualart process. Proceedings of the International Conference on Stochastic Processes and Algebraic Structures -- From Theory Towards Applications, to appear.

  2. Hyytiä, E., Righter, R., Virtamo, J., Viitasaari, L. (2017). Value (generating) functions for the M^X/G/1 queue. Proceedings of the 29th International Teletraffic Congress, to appear.

  3. Sottinen, T., Viitasaari, L. (2015). Fredholm representation of multi-parameter Gaussian processes with applications to equivalence in law and series expansions. Modern Stochastics: Theory and Applications 2(3):287-295 (proceedings of the PRESTO-2015 meeting).

  4. Shevchenko, G., Viitasaari, L. (2015). Adapted integral representations of random variables. Int. J. Mod. Phys. Conf. Ser. 36. DOI:10.1142/S2010194515600046. (proceedings of the Jagna workshop-2014).

Review articles

  1. Bender, C., Viitasaari, L. (2016). Fractional Brownian motion in financial modeling. Wiley StatsRef: Statistics Reference Online 
    (stat07865).

Software

  1. Gorskikh, O., Malo, P., Ilmonen, P., Viitasaari, L., Virta, J. (2019). changedetection: Nonparametric Change Detection in Multivariate Linear Relationships. R-package.

Preprints

  1. Torres, S., Viitasaari, L. (2019). Stochastic Differential Equations with Discontinuous Diffusions. ArXiv: 1908.03183.

  2. Nagy, S., Helander, S., Van Bever, G., Viitasaari, L., Ilmonen, P. (2019). Adaptive integrated functional depths. Submitted, no online preprint available.

  3. Ilmonen, P., Torres, S., Viitasaari, L. (2019). Oscillating Gaussian Processes. ArXiv: 1905.12031.

  4. Junnila, J., Saksman, E., Viitasaari, L. (2019). On the regularity of complex multiplicative chaos. ArXiv: 1905.12027.

  5. Viitasaari, L., Zeng, C. (2019). Stochastic differential equations with noise perturbations and Wong-Zakai approximation of fractional Brownian motion. ArXiv: 1905.07846.

  6. Hyytiä, E., Righter, R., Virtamo, J., Viitasaari, L. (2019). On Value Functions for FCFS Queues with Batch Arrivals and General Cost Structures. Submitted, no online preprint available.

  7. Azmoodeh, E., Sottinen, T., Tudor, C.A., Viitasaari, L. (2019). Integration-by-Parts Characterizations of Gaussian Processes.ArXiv: 1904.02890.

  8. Huang, J., Nualart, D., Viitasaari, L. (2018). A Central Limit Theorem for the stochastic heat equation.ArXiv: 1810.09492.

  9. Aalto, A., Viitasaari, L., Ilmonen, P., Goncalves, J. (2018). Continuous time Gaussian process dynamical models in gene regulatory network inference.ArXiv: 1808.08161.

  10. Ford, M., Viitasaari, L. (2018). Rough volatility with CGMY jumps conditioned on a finite history - small-time Edgeworth expansions and the prediction formula for the Riemann-Liouville process. Submitted, no online preprint available.

  11. Ilmonen, P., Torres, S., Tudor, C.A., Viitasaari, L., Voutilainen, M. (2018). On generalized ARCH model with stationary liquidity.ArXiv: 1806.08608.

  12. Malo, P., Viitasaari, L., Gorskikh, O., Ilmonen, P. (2018). Non-parametric Structural Change Detection in Multivariate Systems.ArXiv: 1805.08512.

  13. Bajja, S., Es-Sebaiy, K., Viitasaari, L. (2018). Volatility estimation in fractional Ornstein-Uhlenbeck models.ArXiv: 1802.09589.

Theses