## Valkeila, Esko

Compute Distance To:
 Author ID: valkeila.esko Published as: Valkeila, Esko; Valkeila, E. External Links: MGP
 Documents Indexed: 51 Publications since 1982 Reviewing Activity: 39 Reviews Biographic References: 1 Publication Co-Authors: 29 Co-Authors with 42 Joint Publications 913 Co-Co-Authors
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### Co-Authors

 9 single-authored 8 Mishura, Yuliya Stepanivna 6 Sottinen, Tommi 5 Dzhaparidze, Kacha 4 Gasbarra, Dario 4 Gushchin, Aleksandr Aleksandrovich 4 Nikunen, Martti 3 Azmoodeh, Ehsan 3 Bender, Christian 3 Vostrikova, Lioudmila 2 Melnikov, Aleksander Viktorovich 2 Norros, Ilkka 2 Spreij, Peter 1 Corcuera, José Manuel 1 Delbaen, Freddy 1 Farkas, Gergely 1 Gapeev, Pavel V. 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Kukush, Oleksandr Georgiĭovych 1 Mémin, Jean 1 Morlanes, José Igor 1 Novikov, Aleksandr Aleksandrovich 1 Rodkina, Alexandra 1 Saksman, Eero 1 Salminen, Paavo H. 1 Schoutens, Wim 1 Shevchenko, Georgiy M. 1 Shiryaev, Al’bert Nikolaevich 1 Tikanmäki, Heikki 1 Virtamo, Jorma T.
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### Serials

 5 Statistics & Decisions 4 Statistics & Probability Letters 3 Arkhimedes 2 Theory of Probability and its Applications 2 Annales Academiae Scientiarum Fennicae. Series A I. Mathematica 2 The Annals of Probability 2 Statistical Inference for Stochastic Processes 2 Theory of Stochastic Processes 1 Russian Mathematical Surveys 1 Stochastics 1 Mathematica Scandinavica 1 Probability Theory and Related Fields 1 Journal of Theoretical Probability 1 CWI Quarterly 1 Commentationes Physico-Mathematicae 1 Stochastic Processes and their Applications 1 Stochastics and Stochastics Reports 1 Bernoulli 1 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 1 Finance and Stochastics 1 Mathematical Finance 1 Stochastics and Dynamics
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### Fields

 41 Probability theory and stochastic processes (60-XX) 18 Statistics (62-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 History and biography (01-XX) 1 Real functions (26-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX)

### Citations contained in zbMATH Open

35 Publications have been cited 489 times in 409 Documents Cited by Year
An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Zbl 0955.60034
Norros, Ilkka; Valkeila, Esko; Virtamo, Jorma
1999
Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion. Zbl 0983.60052
Mémin, Jean; Mishura, Yuliya; Valkeila, Esko
2001
Pricing by hedging and no-arbitrage beyond semimartingales. Zbl 1199.91170
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
2008
On some maximal inequalities for fractional Brownian motions. Zbl 0947.60033
Novikov, Alexander; Valkeila, Esko
1999
Fractional processes as models in stochastic finance. Zbl 1239.91001
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
2011
On arbitrage and replication in the fractional Black-Scholes pricing model. Zbl 1041.60055
Sottinen, Tommi; Valkeila, Esko
2003
On the Hellinger type distances for filtered experiments. Zbl 0671.60044
Dzhaparidze, K.; Valkeila, E.
1990
Arbitrage with fractional Brownian motion? Zbl 1152.91028
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
2007
Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046
Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko
2002
Gaussian bridges. Zbl 1144.60028
Gasbarra, Dario; Sottinen, Tommi; Valkeila, Esko
2007
On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312
Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko
2009
Enlargement of filtration and additional information in pricing models: Bayesian approach. Zbl 1101.62101
Gasbarra, Dario; Valkeila, Esko; Vostrikova, Lioudmila
2006
The absence of arbitrage in a mixed Brownian-fractional Brownian model. Zbl 1113.91322
Mishura, Yu. S.; Valkeila, E.
2002
Random variables as pathwise integrals with respect to fractional Brownian motion. Zbl 1328.60131
Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko
2013
An extension of the Lévy characterization to fractional Brownian motion. Zbl 1227.60051
Mishura, Yuliya; Valkeila, Esko
2011
A general Poisson approximation theorem. Zbl 0491.60022
Valkeila, Esko
1982
An integral representation for the Hellinger distance. Zbl 0633.60066
Valkeila, Esko; Vostrikova, Ljudmilla
1986
An isometric approach to generalized stochastic integrals. Zbl 0965.60054
Mishura, Yuliya; Valkeila, Esko
2000
Martingale transforms and Girsanov theorem for long-memory Gaussian processes. Zbl 1002.60030
Mishura, Yuliya; Valkeila, Esko
2001
Statistical inference with fractional Brownian motion. Zbl 1107.62355
Kukush, Alexander; Mishura, Yuliya; Valkeila, Esko
2005
Approximations and limit theorems for likelihood ratio processes in the binary case. Zbl 1044.62005
Gushchin, A. A.; Valkeila, E.
2003
On the approximation of geometric fractional Brownian motion. Zbl 1181.60048
Valkeila, Esko
2009
Initial enlargement: a Bayesian approach. Zbl 1063.62030
Gasbara, Dario; Valkeila, Esko
2003
Martingale models of stochastic approximation and their convergence. Zbl 0974.62063
Valkeila, E.; Melnikov, A. V.
1999
Robust replication in $$H$$-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
2011
Quadratic approximation for log-likelihood ratio processes. Zbl 1383.62043
Gushchin, Alexander; Valkeila, Esko
2017
On Hellinger processes for parametric families of experiments. Zbl 0945.62008
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko
1997
On normal approximation of a process with independent increments. Zbl 0856.60028
Valkeila, E.
1995
On lower and upper functions for square integrable martingales. Zbl 1032.60040
Shiryaev, A. N.; Valkeila, E.; Vostrikova, L.
2002
On a general class of stochastic approximation algorithms. Zbl 0815.62053
Mel’nikov, A. V.; Rodkina, A. E.; Valkeila, E.
1993
A note on large deviation probabilities for the maximum likelihood estimator in filtered experiments. Zbl 0881.62084
Valkeila, E.
1996
A Prohorov bound for a Poisson process and an arbitrary counting process with some applications. Zbl 0746.60053
Nikunen, Martti; Valkeila, Esko
1991
A note on one-dimensional distances between two counting processes. Zbl 0579.60038
Nikunen, M.; Valkeila, E.
1984
A short rate model using ambit processes. Zbl 1270.91100
Corcuera, José Manuel; Farkas, Gergely; Schoutens, Wim; Valkeila, Esko
2013
Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion. Zbl 1273.60037
Azmoodeh, Ehsan; Valkeila, Esko
2013
Quadratic approximation for log-likelihood ratio processes. Zbl 1383.62043
Gushchin, Alexander; Valkeila, Esko
2017
Random variables as pathwise integrals with respect to fractional Brownian motion. Zbl 1328.60131
Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko
2013
A short rate model using ambit processes. Zbl 1270.91100
Corcuera, José Manuel; Farkas, Gergely; Schoutens, Wim; Valkeila, Esko
2013
Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion. Zbl 1273.60037
Azmoodeh, Ehsan; Valkeila, Esko
2013
Fractional processes as models in stochastic finance. Zbl 1239.91001
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
2011
An extension of the Lévy characterization to fractional Brownian motion. Zbl 1227.60051
Mishura, Yuliya; Valkeila, Esko
2011
Robust replication in $$H$$-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
2011
On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312
Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko
2009
On the approximation of geometric fractional Brownian motion. Zbl 1181.60048
Valkeila, Esko
2009
Pricing by hedging and no-arbitrage beyond semimartingales. Zbl 1199.91170
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
2008
Arbitrage with fractional Brownian motion? Zbl 1152.91028
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
2007
Gaussian bridges. Zbl 1144.60028
Gasbarra, Dario; Sottinen, Tommi; Valkeila, Esko
2007
Enlargement of filtration and additional information in pricing models: Bayesian approach. Zbl 1101.62101
Gasbarra, Dario; Valkeila, Esko; Vostrikova, Lioudmila
2006
Statistical inference with fractional Brownian motion. Zbl 1107.62355
Kukush, Alexander; Mishura, Yuliya; Valkeila, Esko
2005
On arbitrage and replication in the fractional Black-Scholes pricing model. Zbl 1041.60055
Sottinen, Tommi; Valkeila, Esko
2003
Approximations and limit theorems for likelihood ratio processes in the binary case. Zbl 1044.62005
Gushchin, A. A.; Valkeila, E.
2003
Initial enlargement: a Bayesian approach. Zbl 1063.62030
Gasbara, Dario; Valkeila, Esko
2003
Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046
Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko
2002
The absence of arbitrage in a mixed Brownian-fractional Brownian model. Zbl 1113.91322
Mishura, Yu. S.; Valkeila, E.
2002
On lower and upper functions for square integrable martingales. Zbl 1032.60040
Shiryaev, A. N.; Valkeila, E.; Vostrikova, L.
2002
Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion. Zbl 0983.60052
Mémin, Jean; Mishura, Yuliya; Valkeila, Esko
2001
Martingale transforms and Girsanov theorem for long-memory Gaussian processes. Zbl 1002.60030
Mishura, Yuliya; Valkeila, Esko
2001
An isometric approach to generalized stochastic integrals. Zbl 0965.60054
Mishura, Yuliya; Valkeila, Esko
2000
An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Zbl 0955.60034
Norros, Ilkka; Valkeila, Esko; Virtamo, Jorma
1999
On some maximal inequalities for fractional Brownian motions. Zbl 0947.60033
Novikov, Alexander; Valkeila, Esko
1999
Martingale models of stochastic approximation and their convergence. Zbl 0974.62063
Valkeila, E.; Melnikov, A. V.
1999
On Hellinger processes for parametric families of experiments. Zbl 0945.62008
Dzhaparidze, Kacha; Spreij, Peter; Valkeila, Esko
1997
A note on large deviation probabilities for the maximum likelihood estimator in filtered experiments. Zbl 0881.62084
Valkeila, E.
1996
On normal approximation of a process with independent increments. Zbl 0856.60028
Valkeila, E.
1995
On a general class of stochastic approximation algorithms. Zbl 0815.62053
Mel&rsquo;nikov, A. V.; Rodkina, A. E.; Valkeila, E.
1993
A Prohorov bound for a Poisson process and an arbitrary counting process with some applications. Zbl 0746.60053
Nikunen, Martti; Valkeila, Esko
1991
On the Hellinger type distances for filtered experiments. Zbl 0671.60044
Dzhaparidze, K.; Valkeila, E.
1990
An integral representation for the Hellinger distance. Zbl 0633.60066
Valkeila, Esko; Vostrikova, Ljudmilla
1986
A note on one-dimensional distances between two counting processes. Zbl 0579.60038
Nikunen, M.; Valkeila, E.
1984
A general Poisson approximation theorem. Zbl 0491.60022
Valkeila, Esko
1982
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### Cited by 476 Authors

 30 Mishura, Yuliya Stepanivna 19 Prakasa Rao, B. L. S. 16 Nualart, David 14 Hu, Yaozhong 12 Kleptsyna, Marina L. 11 Radchenko, Vadym Mykolaĭovych 11 Sottinen, Tommi 10 Valkeila, Esko 10 Viitasaari, Lauri 8 Jiang, Yiming 7 Tudor, Ciprian A. 6 Dzhaparidze, Kacha 6 Øksendal, Bernt Karsten 6 Shevchenko, Georgiy M. 6 Wang, Yongjin 5 Brouste, Alexandre 5 Cai, Chunhao 5 Mishra, Mahendra Nath 5 Novikov, Aleksandr Aleksandrovich 5 Ouknine, Youssef 5 Pacchiarotti, Barbara 5 Shklyar, Sergiĭ Volodymyrovych 5 Shokrollahi, Foad 5 Yan, Litan 4 Anh, Vo V. 4 Azmoodeh, Ehsan 4 Balan, Raluca M. 4 Banna, Oksana L. 4 Bender, Christian 4 Bishwal, Jaya P. N. 4 Fan, Xiliang 4 Ferrando, Sebastián Esteban 4 Le Breton, Alain 4 Melnikov, Aleksander Viktorovich 4 Pakkanen, Mikko S. 4 Ralchenko, Kostiantyn V. 4 Schied, Alexander 4 Tanaka, Katsuto 4 Tindel, Samy 4 Zhitlukhin, Mikhail V. 4 Zimbidis, Alexandros A. 3 Alvarez, Alexander 3 Bo, Lijun 3 Chigansky, Pavel 3 Cordero, Fernando 3 Duan, Jinqiao 3 Guasoni, Paolo 3 Hashorva, Enkelejd 3 Höpfner, Reinhard 3 Kabanov, Yuriĭ Mikhaĭlovich 3 Lee, Chihoon 3 Liu, Junfeng 3 Perez-Ostafe, Lavinia 3 Popier, Alexandre 3 Russo, Francesco 3 Shi, KeHua 3 Shiryaev, Al’bert Nikolaevich 3 Słomiński, Leszek 3 Song, Xiaoming 3 Tudor, Constantin 3 van Zanten, Harry 3 Viot, Michel 3 Vostrikova, Lioudmila 3 Xiao, Wei-Lin 3 Yaskov, Pavel 3 Yode, Armel Fabrice 3 Zheng, Guangqu 3 Ziemkiewicz, Bartosz 2 Androshchuk, Taras O. 2 Ankirchner, Stefan 2 Artemov, A. V. 2 Barndorff-Nielsen, Ole Eiler 2 Bayraktar, Erhan 2 Biagini, Francesca 2 Bouchentouf, Amina Angelika 2 Caramellino, Lucia 2 Cialenco, Igor 2 Degano, Iván L. 2 Di Girolami, Cristina 2 Duncan, Tyrone E. 2 Erraoui, Mohamed 2 Fabozzi, Frank J. 2 Fontana, Claudio 2 Gapeev, Pavel V. 2 Gasbarra, Dario 2 González, Alfredo Lázaro 2 Grecksch, Wilfried 2 Guo, Rong 2 Keddi, Abdelmalik 2 Kozachenko, Yuriĭ Vasyl’ovych 2 Le, Khoa 2 León, José Rafael R. 2 Liu, Yanghui 2 Liu, Zaiming 2 Ludeña, Carenne C. 2 Madani, Fethi 2 Marie, Nicolas 2 Marushkevych, Dmytro 2 Maslowski, Bohdan 2 Muravlev, Alexey A. ...and 376 more Authors
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### Cited in 121 Serials

 37 Stochastic Processes and their Applications 31 Stochastic Analysis and Applications 30 Statistics & Probability Letters 15 Stochastics 13 Theory of Probability and Mathematical Statistics 13 Statistical Inference for Stochastic Processes 11 The Annals of Probability 10 Bernoulli 10 International Journal of Theoretical and Applied Finance 10 Stochastics and Dynamics 8 Random Operators and Stochastic Equations 7 Journal of Applied Probability 7 Probability Theory and Related Fields 7 Modern Stochastics. Theory and Applications 6 Journal of Mathematical Analysis and Applications 6 Physica A 6 Journal of Theoretical Probability 5 Journal of Statistical Physics 5 The Annals of Applied Probability 5 Methodology and Computing in Applied Probability 4 Theory of Probability and its Applications 4 Finance and Stochastics 4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Mathematics and Financial Economics 3 Advances in Applied Probability 3 Journal of Computational and Applied Mathematics 3 Sequential Analysis 3 Journal of Economic Dynamics & Control 3 Applied Mathematical Finance 3 Mathematical Problems in Engineering 3 Abstract and Applied Analysis 3 Infinite Dimensional Analysis, Quantum Probability and Related Topics 3 Acta Mathematica Sinica. English Series 3 Discrete and Continuous Dynamical Systems. Series B 3 Acta Mathematica Scientia. Series B. (English Edition) 2 Lithuanian Mathematical Journal 2 Stochastics 2 The Annals of Statistics 2 Journal of Differential Equations 2 Journal of Mathematical Economics 2 Journal of Statistical Planning and Inference 2 Mathematics and Computers in Simulation 2 SIAM Journal on Control and Optimization 2 Bulletin of the Korean Mathematical Society 2 Probability and Mathematical Statistics 2 Chinese Annals of Mathematics. Series B 2 Acta Applicandae Mathematicae 2 Communications in Statistics. Theory and Methods 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Stochastics and Stochastics Reports 2 Potential Analysis 2 Mathematical Finance 2 Journal of Inequalities and Applications 2 Fractional Calculus & Applied Analysis 2 Nonlinear Analysis. Modelling and Control 2 Quantitative Finance 2 Advances in Difference Equations 2 Frontiers of Mathematics in China 2 SIAM Journal on Financial Mathematics 2 Acta Universitatis Sapientiae. Mathematica 2 Science China. Mathematics 2 International Journal of Stochastic Analysis 2 AIMS Mathematics 1 International Journal of Modern Physics B 1 Applicable Analysis 1 Bulletin of the Australian Mathematical Society 1 Metrika 1 Russian Mathematical Surveys 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Applied Mathematics and Optimization 1 Czechoslovak Mathematical Journal 1 Journal of Multivariate Analysis 1 Kybernetika 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Revista de la Unión Matemática Argentina 1 Journal of Time Series Analysis 1 Acta Mathematicae Applicatae Sinica. English Series 1 Statistics 1 Econometric Reviews 1 Forum Mathematicum 1 Journal of Integral Equations and Applications 1 International Journal of Adaptive Control and Signal Processing 1 Numerical Algorithms 1 Applied Mathematical Modelling 1 Communications in Partial Differential Equations 1 Communications in Statistics. Simulation and Computation 1 Indagationes Mathematicae. New Series 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Bulletin des Sciences Mathématiques 1 Monte Carlo Methods and Applications 1 Electronic Journal of Probability 1 Revista Investigación Operacional 1 Discrete Dynamics in Nature and Society 1 Probability in the Engineering and Informational Sciences 1 Econometric Theory 1 Lobachevskii Journal of Mathematics 1 Annales Henri Poincaré 1 Brazilian Journal of Probability and Statistics ...and 21 more Serials
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### Cited in 26 Fields

 376 Probability theory and stochastic processes (60-XX) 98 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 97 Statistics (62-XX) 37 Partial differential equations (35-XX) 21 Systems theory; control (93-XX) 18 Numerical analysis (65-XX) 13 Real functions (26-XX) 11 Ordinary differential equations (34-XX) 9 Statistical mechanics, structure of matter (82-XX) 9 Operations research, mathematical programming (90-XX) 6 Dynamical systems and ergodic theory (37-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 4 Approximations and expansions (41-XX) 4 Information and communication theory, circuits (94-XX) 3 Measure and integration (28-XX) 3 Integral equations (45-XX) 3 Functional analysis (46-XX) 3 Computer science (68-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Operator theory (47-XX) 2 Fluid mechanics (76-XX) 1 Group theory and generalizations (20-XX) 1 Special functions (33-XX) 1 Convex and discrete geometry (52-XX) 1 Mechanics of deformable solids (74-XX) 1 Classical thermodynamics, heat transfer (80-XX)