← All authors Tommi Sottinen University of Vaasa (from arXiv:2509.03208, 2025) · ORCID · OpenAlex
38 papers in scope · 37 published · 1 on the econ.EM arXiv · 779 citations · h-index 15 (over the papers listed here)
Papers (1 of 38)
Transfer principle for fractional Ornstein–Uhlenbeck processes
published 2026 · Theory of Probability and Mathematical Statistics
working paper 2025 · arXiv
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
published 2025 · Journal of Theoretical Probability · first circulated 2024
Prediction of Gaussian Volterra processes with compound Poisson jumps
published 2024 · Statistics & Probability Letters · first circulated 2023
with Hamidreza Maleki Almani, Foad Shokrollahi
Long-range dependent completely correlated mixed fractional Brownian motion
published 2023 · Stochastic Processes and their Applications · 9 citations · first circulated 2021
On Sharp Rate of Convergence for Discretization of Integrals Driven by Fractional Brownian Motions and Related Processes with Discontinuous Integrands
published 2023 · Journal of Theoretical Probability · 1 citations · first circulated 2022
Multi-mixed sub-fractional Brownian motion and Ornstein–Uhlenbeck processes
published 2023 · Modern Stochastics Theory and Applications · 3 citations · first circulated 2021
with Hamidreza Maleki Almani, Foad Shokrollahi, Mounir Zili
Editorial: Long-Memory Models in Mathematical Finance
published 2021 · Frontiers in Applied Mathematics and Statistics · 1 citations
with Elisa Alòs, Ehsan Azmoodeh, Giulia Di Nunno
DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS
published 2021 · International Journal of Theoretical and Applied Finance
with Raúl Merino, Jan Pospíšil, Tomáš Sobotka, Josep Vives
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
published 2020 · Communications in Statistics - Simulation and Computation · 15 citations
with Josephine Dufitinema, Seppo Pynnönen
Integration-by-parts characterizations of Gaussian processes
published 2020 · Collectanea mathematica
Prediction law of mixed Gaussian Volterra processes
published 2019 · Statistics & Probability Letters
Efficient simulation of the Schrödinger equation with a piecewise constant positive potential
published 2019 · Mathematics and Computers in Simulation · 3 citations · first circulated 2015
with Xuxin Yang, Antti Rasila
Yukawa Potential, Panharmonic Measure and Brownian Motion
published 2018 · Axioms · 3 citations
with Antti Rasila
CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
published 2018 · International Journal of Theoretical and Applied Finance · 2 citations · first circulated 2017
Hedging in fractional Black–Scholes model with transaction costs
published 2017 · Statistics & Probability Letters · 3 citations
with Foad Shokrollahi
Transfer principle for $n$th order fractional Brownian motion with applications to prediction and equivalence in law
published 2017 · Statistics & Probability Letters · 17 citations · first circulated 2016
Parameter estimation for the Langevin equation with stationary-increment Gaussian noise
published 2017 · Statistical Inference for Stochastic Processes · 28 citations · first circulated 2016
On the conditional small ball property of multivariate Lévy-driven moving average processes
published 2016 · Stochastic Processes and their Applications · 1 citations
with Mikko S. Pakkanen, Adil Yazigi
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions
published 2015 · Modern Stochastics Theory and Applications · 6 citations
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
published 2015 · Modern Stochastics Theory and Applications · 1 citations
Pathwise Integrals and Itô–Tanaka Formula for Gaussian Processes
published 2014 · Journal of Theoretical Probability · 11 citations · first circulated 2013
Necessary and sufficient conditions for Hölder continuity of Gaussian processes
published 2014 · Statistics & Probability Letters · 51 citations
Generalized Gaussian bridges
published 2014 · Stochastic Processes and their Applications · 35 citations · first circulated 2012
with Adil Yazigi
Conditional Full Support of Gaussian Processes with Stationary Increments
published 2011 · Journal of Applied Probability · 21 citations
with Dario Gasbarra, Harry van Zanten
Robust replication in H -self-similar Gaussian market models under uncertainty
published 2011 · Statistics & Decisions · 4 citations
with Pavel V. Gapeev, Esko Valkeila
Lipschitz conditions for $\operatorname{Sub}_{𝜙}(Ω)$-processes and applications to weakly self-similar processes with stationary increments
published 2011 · Theory of Probability and Mathematical Statistics · 3 citations · first circulated 2008
with Yuriy Kozachenko, Olga Vasylyk
Pricing by hedging and no-arbitrage beyond semimartingales
published 2008 · Finance and Stochastics · 97 citations
with Christian Bender, Esko Valkeila
Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
published 2008 · Bayesian Analysis · 50 citations · first circulated 2007
with Simo Särkkä
Parameter estimation for stochastic equations with additive fractional Brownian sheet
published 2007 · Statistical Inference for Stochastic Processes · 16 citations
with Ciprian A. Tudor
Gaussian Bridges
published 2007 · Stochastic Analysis and Applications · 36 citations
with Dario Gasbarra, Esko Valkeila
On the Equivalence of Multiparameter Gaussian Processes
published 2006 · Journal of Theoretical Probability · 22 citations
with Ciprian A. Tudor
Simulation of Weakly Self-Similar Stationary Increment $${\text{Sub}}_{\varphi } {\left( \Omega \right)}$$ -Processes: A Series Expansion Approach
published 2005 · Methodology And Computing In Applied Probability · 20 citations
with Yuriy Kozachenko, Olga Vasylyk
On Gaussian Processes Equivalent in Law to Fractional Brownian Motion
published 2004 · Journal of Theoretical Probability · 14 citations
Fractional Brownian motion in finance and queueing
published 2003 · Työväentutkimus Vuosikirja · 21 citations
no link
On arbitrage and replication in the fractional Black–Scholes pricing model
published 2003 · Statistics & Decisions · 73 citations
with Esko Valkeila
Path Space Large Deviations of a Large Buffer with Gaussian Input Traffic
published 2002 · Queueing Systems · 18 citations
with Yuriy Kozachenko, Olga Vasylyk
Fractional Brownian motion, random walks and binary market models
published 2001 · Finance and Stochastics · 194 citations
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