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Author ID: sottinen.tommi Recent zbMATH articles by "Sottinen, Tommi"
Published as: Sottinen, Tommi; Sottinen, T.
External Links: MGP · ORCID
Documents Indexed: 48 Publications since 2001, including 6 Additional arXiv Preprints
Reviewing Activity: 10 Reviews
Co-Authors: 32 Co-Authors with 45 Joint Publications
612 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

33 Publications have been cited 392 times in 281 Documents Cited by Year
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
68
2001
Pricing by hedging and no-arbitrage beyond semimartingales. Zbl 1199.91170
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
38
2008
Fractional processes as models in stochastic finance. Zbl 1239.91001
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
30
2011
Necessary and sufficient conditions for Hölder continuity of Gaussian processes. Zbl 1307.60035
Azmoodeh, Ehsan; Sottinen, Tommi; Viitasaari, Lauri; Yazigi, Adil
24
2014
On arbitrage and replication in the fractional Black-Scholes pricing model. Zbl 1041.60055
Sottinen, Tommi; Valkeila, Esko
24
2003
Arbitrage with fractional Brownian motion? Zbl 1152.91028
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
21
2007
Stochastic analysis of Gaussian processes via Fredholm representation. Zbl 1384.60072
Sottinen, Tommi; Viitasaari, Lauri
19
2016
Generalized Gaussian bridges. Zbl 1329.60098
Sottinen, Tommi; Yazigi, Adil
18
2014
Gaussian bridges. Zbl 1144.60028
Gasbarra, Dario; Sottinen, Tommi; Valkeila, Esko
15
2007
Conditional full support of Gaussian processes with stationary increments. Zbl 1219.60039
Gasbarra, Dario; Sottinen, Tommi; van Zanten, Harry
13
2011
Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach. Zbl 1082.60512
Kozachenko, Yuriy; Sottinen, Tommi; Vasylyk, Olga
11
2005
On the equivalence of multiparameter Gaussian processes. Zbl 1127.60031
Sottinen, Tommi; Tudor, Ciprian A.
10
2006
Prediction law of fractional Brownian motion. Zbl 1386.60148
Sottinen, Tommi; Viitasaari, Lauri
10
2017
Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems. Zbl 1330.93230
Särkkä, Simo; Sottinen, Tommi
9
2008
Power series expansions for fractional Brownian motions. Zbl 1064.60062
Gilsing, Hagen; Sottinen, Tommi
9
2003
Parameter estimation for stochastic equations with additive fractional Brownian sheet. Zbl 1204.60031
Sottinen, Tommi; Tudor, Ciprian A.
9
2008
Path space large deviations of a large buffer with Gaussian input traffic. Zbl 1037.60082
Kozachenko, Yu.; Vasylyk, O.; Sottinen, T.
9
2002
On Gaussian processes equivalent in law to fractional Brownian motion. Zbl 1049.60030
Sottinen, T.
8
2004
Hedging in fractional Black-Scholes model with transaction costs. Zbl 1405.91572
Shokrollahi, Foad; Sottinen, Tommi
6
2017
Transfer principle for \(n\)th order fractional Brownian motion with applications to prediction and equivalence in law. Zbl 1488.60099
Sottinen, T.; Viitasaari, L.
5
2019
Pathwise integrals and Itô-Tanaka formula for Gaussian processes. Zbl 1346.60079
Sottinen, Tommi; Viitasaari, Lauri
5
2016
Self-similar processes with stationary increments from the space \(\text{SSub}_{\varphi}(\Omega)\). Zbl 1026.60037
Kozachenko, Yu.; Sottinen, T.; Vasylyk, O.
4
2001
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets. Zbl 07603814
Dufitinema, Josephine; Pynnönen, Seppo; Sottinen, Tommi
4
2022
Decomposition formula for rough Volterra stochastic volatility models. Zbl 1466.91350
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; Sottinen, Tommi; Vives, Josep
4
2021
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions. Zbl 1352.60056
Sottinen, Tommi; Viitasaari, Lauri
3
2015
Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence. Zbl 1371.65131
Yang, Xuxin; Rasila, Antti; Sottinen, Tommi
3
2017
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
3
2011
Yukawa potential, panharmonic measure and Brownian motion. Zbl 1432.60076
Rasila, Antti; Sottinen, Tommi
3
2018
Prediction law of mixed Gaussian Volterra processes. Zbl 1460.60022
Sottinen, Tommi; Viitasaari, Lauri
2
2020
Efficient simulation of the Schrödinger equation with a piecewise constant positive potential. Zbl 07316774
Yang, Xuxin; Rasila, Antti; Sottinen, Tommi
2
2019
Conditional-mean hedging under transaction costs in Gaussian models. Zbl 1395.91468
Sottinen, Tommi; Viitasaari, Lauri
1
2018
Lipschitz conditions for \(\mathrm{sub}_\phi(\Omega)\)-processes: applications to weakly self-similar processes with stationary increments. Zbl 1232.60031
Kozachenko, Yuriĭ V.; Sottinen, Tommi; Vasilik, Olga
1
2011
On the conditional small ball property of multivariate Lévy-driven moving average processes. Zbl 1355.60045
Pakkanen, Mikko S.; Sottinen, Tommi; Yazigi, Adil
1
2017
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets. Zbl 07603814
Dufitinema, Josephine; Pynnönen, Seppo; Sottinen, Tommi
4
2022
Decomposition formula for rough Volterra stochastic volatility models. Zbl 1466.91350
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; Sottinen, Tommi; Vives, Josep
4
2021
Prediction law of mixed Gaussian Volterra processes. Zbl 1460.60022
Sottinen, Tommi; Viitasaari, Lauri
2
2020
Transfer principle for \(n\)th order fractional Brownian motion with applications to prediction and equivalence in law. Zbl 1488.60099
Sottinen, T.; Viitasaari, L.
5
2019
Efficient simulation of the Schrödinger equation with a piecewise constant positive potential. Zbl 07316774
Yang, Xuxin; Rasila, Antti; Sottinen, Tommi
2
2019
Yukawa potential, panharmonic measure and Brownian motion. Zbl 1432.60076
Rasila, Antti; Sottinen, Tommi
3
2018
Conditional-mean hedging under transaction costs in Gaussian models. Zbl 1395.91468
Sottinen, Tommi; Viitasaari, Lauri
1
2018
Prediction law of fractional Brownian motion. Zbl 1386.60148
Sottinen, Tommi; Viitasaari, Lauri
10
2017
Hedging in fractional Black-Scholes model with transaction costs. Zbl 1405.91572
Shokrollahi, Foad; Sottinen, Tommi
6
2017
Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence. Zbl 1371.65131
Yang, Xuxin; Rasila, Antti; Sottinen, Tommi
3
2017
On the conditional small ball property of multivariate Lévy-driven moving average processes. Zbl 1355.60045
Pakkanen, Mikko S.; Sottinen, Tommi; Yazigi, Adil
1
2017
Stochastic analysis of Gaussian processes via Fredholm representation. Zbl 1384.60072
Sottinen, Tommi; Viitasaari, Lauri
19
2016
Pathwise integrals and Itô-Tanaka formula for Gaussian processes. Zbl 1346.60079
Sottinen, Tommi; Viitasaari, Lauri
5
2016
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions. Zbl 1352.60056
Sottinen, Tommi; Viitasaari, Lauri
3
2015
Necessary and sufficient conditions for Hölder continuity of Gaussian processes. Zbl 1307.60035
Azmoodeh, Ehsan; Sottinen, Tommi; Viitasaari, Lauri; Yazigi, Adil
24
2014
Generalized Gaussian bridges. Zbl 1329.60098
Sottinen, Tommi; Yazigi, Adil
18
2014
Fractional processes as models in stochastic finance. Zbl 1239.91001
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
30
2011
Conditional full support of Gaussian processes with stationary increments. Zbl 1219.60039
Gasbarra, Dario; Sottinen, Tommi; van Zanten, Harry
13
2011
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty. Zbl 1208.91171
Gapeev, Pavel V.; Sottinen, Tommi; Valkeila, Esko
3
2011
Lipschitz conditions for \(\mathrm{sub}_\phi(\Omega)\)-processes: applications to weakly self-similar processes with stationary increments. Zbl 1232.60031
Kozachenko, Yuriĭ V.; Sottinen, Tommi; Vasilik, Olga
1
2011
Pricing by hedging and no-arbitrage beyond semimartingales. Zbl 1199.91170
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
38
2008
Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems. Zbl 1330.93230
Särkkä, Simo; Sottinen, Tommi
9
2008
Parameter estimation for stochastic equations with additive fractional Brownian sheet. Zbl 1204.60031
Sottinen, Tommi; Tudor, Ciprian A.
9
2008
Arbitrage with fractional Brownian motion? Zbl 1152.91028
Bender, Christian; Sottinen, Tommi; Valkeila, Esko
21
2007
Gaussian bridges. Zbl 1144.60028
Gasbarra, Dario; Sottinen, Tommi; Valkeila, Esko
15
2007
On the equivalence of multiparameter Gaussian processes. Zbl 1127.60031
Sottinen, Tommi; Tudor, Ciprian A.
10
2006
Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach. Zbl 1082.60512
Kozachenko, Yuriy; Sottinen, Tommi; Vasylyk, Olga
11
2005
On Gaussian processes equivalent in law to fractional Brownian motion. Zbl 1049.60030
Sottinen, T.
8
2004
On arbitrage and replication in the fractional Black-Scholes pricing model. Zbl 1041.60055
Sottinen, Tommi; Valkeila, Esko
24
2003
Power series expansions for fractional Brownian motions. Zbl 1064.60062
Gilsing, Hagen; Sottinen, Tommi
9
2003
Path space large deviations of a large buffer with Gaussian input traffic. Zbl 1037.60082
Kozachenko, Yu.; Vasylyk, O.; Sottinen, T.
9
2002
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
68
2001
Self-similar processes with stationary increments from the space \(\text{SSub}_{\varphi}(\Omega)\). Zbl 1026.60037
Kozachenko, Yu.; Sottinen, T.; Vasylyk, O.
4
2001
all top 5

Cited by 400 Authors

24 Sottinen, Tommi
18 Viitasaari, Lauri
11 Mishura, Yuliya Stepanivna
11 Tudor, Ciprian A.
9 Kozachenko, Yuriĭ Vasyl’ovych
9 Torres, Soledad
6 Pacchiarotti, Barbara
5 Kleptsyna, Marina L.
5 Pakkanen, Mikko S.
5 Sayit, Hasanjan
5 Shokrollahi, Foad
4 Araya, Héctor
4 Azmoodeh, Ehsan
4 Bender, Christian
4 Cordero, Fernando
4 Ferrando, Sebastián Esteban
4 Majewski, Kurt
4 Perez-Ostafe, Lavinia
4 Russo, Francesco
4 Schied, Alexander
4 Tindel, Samy
3 Alvarez, Alexander
3 Bayraktar, Erhan
3 Beskos, Alexandros
3 Cai, Chunhao
3 Chigansky, Pavel
3 Di Nunno, Giulia
3 Gorostiza, Luis G.
3 Mazzolo, Alain
3 Parczewski, Peter
3 Ralchenko, Kostiantyn V.
3 Rasila, Antti
3 Rásonyi, Miklós
3 Rozora, Iryna V.
3 Shen, Guangjun
3 Shklyar, Sergiĭ Volodymyrovych
3 Turchyn, Ievgen
3 van Zanten, Harry
3 Vasylyk, Ol’ga I.
3 Xiao, Weilin
3 Yamnenko, Rostyslav E.
3 Yan, Litan
3 Yazigi, Adil
3 Yurchenko-Tytarenko, Anton
2 Bahamonde, Natalia
2 Ballestra, Luca Vincenzo
2 Bertin, Karine
2 Caramellino, Lucia
2 Clarke De la Cerda, Jorge
2 Dai, Hongshuai
2 Dębicki, Krzysztof
2 Degano, Iván L.
2 Di Girolami, Cristina
2 Dieker, A. B.
2 Dufitinema, Josephine
2 El Maroufy, Hamid
2 El Omari, Mohamed
2 Elbarrimi, Oussama
2 González, Alfredo Lázaro
2 Guasoni, Paolo
2 Hoeting, Jennifer A.
2 Hu, Tienchung
2 Ilmonen, Pauliina
2 Jaber, Eduardo Abi
2 Jasra, Ajay
2 Kantas, Nikolas
2 Klein, Irene
2 Kubilius, Kȩstutis
2 Lebovits, Joachim
2 Lee, Chihoon
2 León, Jorge A.
2 Maleki Almani, Hamidreza
2 Melnikov, Aleksander Viktorovich
2 Mengütürk, Levent Ali
2 Neuenkirch, Andreas
2 Nourdin, Ivan
2 Pashko, Anatolii
2 Poor, Harold Vincent
2 Pospíšil, Jan
2 Shevchenko, Georgiy M.
2 Słomiński, Leszek
2 Sun, Libo
2 Valkeila, Esko
2 Viens, Frederi G.
2 Vilelamendes, R.
2 Vives, Josep
2 Wang, Wensheng
2 Yang, Xuxin
2 Yaskov, Pavel A.
2 Yin, Xiuwei
2 Zhang, Xili
2 Ziemkiewicz, Bartosz
1 Abdeldjebbar, Kandouci
1 Ahmadian, Davood
1 Ai, Mingyao
1 Alabert, Aureli
1 Alòs, Elisa
1 Androshchuk, Taras O.
1 Anh, Vo V.
1 Antonelli, Fabio
...and 300 more Authors
all top 5

Cited in 116 Serials

20 Stochastic Processes and their Applications
18 Statistics & Probability Letters
11 Modern Stochastics. Theory and Applications
9 Journal of Theoretical Probability
9 International Journal of Theoretical and Applied Finance
8 Stochastic Analysis and Applications
8 Theory of Probability and Mathematical Statistics
7 Physica A
5 Mathematical Finance
5 Statistical Inference for Stochastic Processes
5 Methodology and Computing in Applied Probability
5 Stochastics
5 Annals of Finance
4 Journal of Mathematical Analysis and Applications
4 Journal of Applied Probability
4 Communications in Statistics. Theory and Methods
4 Monte Carlo Methods and Applications
4 Bernoulli
4 Mathematics and Financial Economics
3 Advances in Applied Probability
3 Lithuanian Mathematical Journal
3 The Annals of Probability
3 Queueing Systems
3 The Annals of Applied Probability
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Quantitative Finance
3 Stochastic Models
3 Journal of Statistical Mechanics: Theory and Experiment
3 Electronic Journal of Statistics
2 Journal of Statistical Physics
2 Collectanea Mathematica
2 Journal of Computational and Applied Mathematics
2 Mathematics and Computers in Simulation
2 Bulletin of the Korean Mathematical Society
2 Statistics
2 Probability Theory and Related Fields
2 Numerical Algorithms
2 Computational Statistics
2 SIAM Journal on Scientific Computing
2 Random Operators and Stochastic Equations
2 Applied Mathematical Finance
2 Extremes
2 Communications in Nonlinear Science and Numerical Simulation
2 Brazilian Journal of Probability and Statistics
2 Stochastics and Dynamics
2 Journal of the Korean Statistical Society
2 International Journal of Stochastic Analysis
2 AIMS Mathematics
1 The Canadian Journal of Statistics
1 Computers & Mathematics with Applications
1 Journal of the Franklin Institute
1 Journal of Mathematical Physics
1 Metrika
1 Scandinavian Journal of Statistics
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Annals of the Institute of Statistical Mathematics
1 Applied Mathematics and Computation
1 Automatica
1 Journal of Econometrics
1 Journal of the Indian Institute of Science
1 Journal für die Reine und Angewandte Mathematik
1 Journal of Statistical Planning and Inference
1 Mathematics of Operations Research
1 Revista de la Unión Matemática Argentina
1 Journal of Time Series Analysis
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Physica D
1 Econometric Reviews
1 Journal of Economic Dynamics & Control
1 Mathematical and Computer Modelling
1 Forum Mathematicum
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 European Journal of Operational Research
1 Computational Statistics and Data Analysis
1 Journal of Partial Differential Equations
1 Cybernetics and Systems Analysis
1 Potential Analysis
1 Journal of Mathematical Sciences (New York)
1 Bulletin des Sciences Mathématiques
1 Journal of Computational Neuroscience
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Revista Investigación Operacional
1 Finance and Stochastics
1 Abstract and Applied Analysis
1 Chaos
1 Fractional Calculus & Applied Analysis
1 Discrete Dynamics in Nature and Society
1 Annales Henri Poincaré
1 Miscelánea Matemática
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Acta Mathematica Scientia. Series B. (English Edition)
1 Mediterranean Journal of Mathematics
1 Computational Management Science
1 New Mathematics and Natural Computation
1 Bulletin of the Institute of Mathematics. Academia Sinica. New Series
...and 16 more Serials

Citations by Year