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Found 53 Documents (Results 1–53)

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Gushchin, Alexander; Valkeila, Esko

Quadratic approximation for log-likelihood ratio processes. (English) Zbl 1383.62043

Panov, Vladimir (ed.), Modern problems of stochastic analysis and statistics. Selected contributions in honor of Valentin Konakov’s 70th birthday, Moscow, Russia, May 29 – June 2, 2016. Cham: Springer (ISBN 978-3-319-65312-9/hbk; 978-3-319-65313-6/ebook). Springer Proceedings in Mathematics & Statistics 208, 179-215 (2017).
MSC:  62E20 62F12 62M20
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\textit{A. Gushchin} and \textit{E. Valkeila}, Springer Proc. Math. Stat. 208, 179--215 (2017; Zbl 1383.62043)
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Corcuera, José Manuel; Farkas, Gergely; Schoutens, Wim; Valkeila, Esko

A short rate model using ambit processes. (English) Zbl 1270.91100

Viens, Frederi (ed.) et al., Malliavin calculus and stochastic analysis. A Festschrift in honor of David Nualart. New York, NY: Springer (ISBN 978-1-4614-5905-7/hbk; 978-1-4614-5906-4/ebook). Springer Proceedings in Mathematics & Statistics 34, 525-553 (2013).
MSC:  91G30 91B25 91G60
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\textit{J. M. Corcuera} et al., Springer Proc. Math. Stat. 34, 525--553 (2013; Zbl 1270.91100)
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Bender, Christian; Sottinen, Tommi; Valkeila, Esko

Fractional processes as models in stochastic finance. (English) Zbl 1239.91001

Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 75-103 (2011).
Reviewer: Gong Guanglu (Beijing)
MSC:  91-02 91G10 91B70 60G15 60H05
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\textit{C. Bender} et al., in: Advanced mathematical methods for finance. Berlin: Springer. 75--103 (2011; Zbl 1239.91001)
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Gasbarra, Dario; Sottinen, Tommi; Valkeila, Esko

Gaussian bridges. (English) Zbl 1144.60028

Benth, Fred Espen (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Berlin: Springer (ISBN 978-3-540-70846-9/hbk). Abel Symposia 2, 361-382 (2007).
Reviewer: Mátyás Barczy (Debrecen)
MSC:  60G15 60G25 60G44 60G12
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\textit{D. Gasbarra} et al., Abel Symp. 2, 361--382 (2007; Zbl 1144.60028)
Gasbarra, Dario; Valkeila, Esko; Vostrikova, Lioudmila

Enlargement of filtration and additional information in pricing models: Bayesian approach. (English) Zbl 1101.62101

Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 257-285 (2006).
Reviewer: V. S. Borkar (Mumbai)
MSC:  62P05 60G48 91G10 60H30 62F15 60G35
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\textit{D. Gasbarra} et al., in: From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Almost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9--15, 2005. Berlin: Springer. 257--285 (2006; Zbl 1101.62101)
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Mishura, Yu. S.; Valkeila, E.

The absence of arbitrage in a mixed Brownian-fractional Brownian model. (English. Russian original) Zbl 1113.91322

Proc. Steklov Inst. Math. 237, 215-224 (2002); translation from Tr. Mat. Inst. Steklova 237, 224-233 (2002).
MSC:  91B28 60G15 60H10 60H30 91B70
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\textit{Yu. S. Mishura} and \textit{E. Valkeila}, in: Stochastic financial mathematics. Transl. from the Russian. Moskva: Maik Nauka/Interperiodika. 1 (2002; Zbl 1113.91322); translation from Tr. Mat. Inst. Steklova 237, 224--233 (2002)
Gushchin, A. A.; Valkeila, E.

Exponential approximation of statistical experiments. (English) Zbl 1012.62006

Balakrishnan, N. (ed.) et al., Asymptotic methods in probability and statistics with applications. Papers from the international conference, St. Petersburg, Russia, June 24-28, 1998. Boston, MA: Birkhäuser. 409-423 (2001).
MSC:  62B15 62E20
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\textit{A. A. Gushchin} and \textit{E. Valkeila}, in: Asymptotic methods in probability and statistics with applications. Papers from the international conference, St. Petersburg, Russia, June 24--28, 1998. Boston, MA: Birkhäuser. 409--423 (2001; Zbl 1012.62006)
Valkeila, E.; Melnikov, A. V.

Martingale models of stochastic approximation and their convergence. (English. Russian original) Zbl 0974.62063

Theory Probab. Appl. 44, No. 2, 333-360 (1999); translation from Teor. Veroyatn. Primen. 44, No. 2, 278-311 (1999).
Reviewer: D.Lepingle (Orléans)
MSC:  62L20 60H07 60G48
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\textit{E. Valkeila} and \textit{A. V. Melnikov}, Theory Probab. Appl. 44, No. 2, 333--360 (1999; Zbl 0974.62063); translation from Teor. Veroyatn. Primen. 44, No. 2, 278--311 (1999)
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Valkeila, Esko

An inequality for the local asymptotic normality. (English) Zbl 0948.60010

Kabanov, Yu. M. (ed.) et al., Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 323-342 (1997).
Reviewer: M.Quine (Sydney)
MSC:  60F05 62E20
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\textit{E. Valkeila}, in: Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 323--342 (1997; Zbl 0948.60010)
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko

On Hellinger processes for parametric families of experiments. (English) Zbl 0945.62008

Kabanov, Yu. M. (ed.) et al., Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 41-61 (1997).
MSC:  62B15
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\textit{K. Dzhaparidze} et al., in: Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 41--61 (1997; Zbl 0945.62008)
Shiryaev, A. N. (ed.); Mel’nikov, A. V. (ed.); Niemi, Kh. (ed.); Valkejla, Eh. (ed.)

Frontiers in pure and applied probability II. Proceedings of the fourth Russian-Finnish symposium on probability theory and mathematical statistics. Moscow (Russia), October 3-8, 1993. (Uspekhi teorii veroyatnostej i ee primenenij II. Trudy chetvertogo rossijsko-finskogo simpoziuma po teorii veroyatnostej i matematicheskoj statistike. Moskva (Rossiya), 3-8 oktyabrya 1993 g.) (English) Zbl 0870.00038

Frontiers in Pure and Applied Probability (Uspekhi Teorii Veroyatnostej i ee Primenenij). 8. Moskva: TVP. viii, 223 p. (1996).
MSC:  00B25 60-06 62-06
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\textit{A. N. Shiryaev} (ed.) et al., Uspekhi teorii veroyatnostej i ee primenenij \text{II}. Trudy chetvertogo rossijsko-finskogo simpoziuma po teorii veroyatnostej i matematicheskoj statistike. Moskva (Rossiya), 3-8 oktyabrya 1993 g. Moskva: TVP (1996; Zbl 0870.00038)
Valkeila, E.

A note on large deviation probabilities for the maximum likelihood estimator in filtered experiments. (English) Zbl 0881.62084

Shiryaev, A. N. (ed.) et al., Frontiers in pure and applied probability II. Proceedings of the fourth Russian-Finnish symposium on probability theory and mathematical statistics. Moscow (Russia), October 3-8, 1993. Moskva: TVP. Front. Pure Appl. Probab. 8, 207-216 (1996).
Reviewer: V.Koval’ (Shytomyr)
MSC:  62L12 60F10 62F05
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\textit{E. Valkeila}, Front. Pure Appl. Probab. 8, 207--216 (1996; Zbl 0881.62084)
Valkejla, E.; Vostrikova, L. Yu.

On predictable tests of \((c_ n)\)-consistency of estimates. (English. Russian original) Zbl 0677.62026

Theory Probab. Appl. 32, No. 3, 477-489 (1987); translation from Teor. Veroyatn. Primen. 32, No. 3, 523-536 (1987).
Reviewer: Zhidong Bai
MSC:  62F12 62F10
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\textit{E. Valkejla} and \textit{L. Yu. Vostrikova}, Theory Probab. Appl. 32, No. 3, 477--489 (1987; Zbl 0677.62026); translation from Teor. Veroyatn. Primen. 32, No. 3, 523--536 (1987)
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