References of "Azmoodeh, Ehsan 50000534"      in Complete repository Arts & humanities   Archaeology   Art & art history   Classical & oriental studies   History   Languages & linguistics   Literature   Performing arts   Philosophy & ethics   Religion & theology   Multidisciplinary, general & others Business & economic sciences   Accounting & auditing   Production, distribution & supply chain management   Finance   General management & organizational theory   Human resources management   Management information systems   Marketing   Strategy & innovation   Quantitative methods in economics & management   General economics & history of economic thought   International economics   Macroeconomics & monetary economics   Microeconomics   Economic systems & public economics   Social economics   Special economic topics (health, labor, transportation…)   Multidisciplinary, general & others Engineering, computing & technology   Aerospace & aeronautics engineering   Architecture   Chemical engineering   Civil engineering   Computer science   Electrical & electronics engineering   Energy   Geological, petroleum & mining engineering   Materials science & engineering   Mechanical engineering   Multidisciplinary, general & others Human health sciences   Alternative medicine   Anesthesia & intensive care   Cardiovascular & respiratory systems   Dentistry & oral medicine   Dermatology   Endocrinology, metabolism & nutrition   Forensic medicine   Gastroenterology & hepatology   General & internal medicine   Geriatrics   Hematology   Immunology & infectious disease   Laboratory medicine & medical technology   Neurology   Oncology   Ophthalmology   Orthopedics, rehabilitation & sports medicine   Otolaryngology   Pediatrics   Pharmacy, pharmacology & toxicology   Psychiatry   Public health, health care sciences & services   Radiology, nuclear medicine & imaging   Reproductive medicine (gynecology, andrology, obstetrics)   Rheumatology   Surgery   Urology & nephrology   Multidisciplinary, general & others Law, criminology & political science   Civil law   Criminal law & procedure   Criminology   Economic & commercial law   European & international law   Judicial law   Metalaw, Roman law, history of law & comparative law   Political science, public administration & international relations   Public law   Social law   Tax law   Multidisciplinary, general & others Life sciences   Agriculture & agronomy   Anatomy (cytology, histology, embryology...) & physiology   Animal production & animal husbandry   Aquatic sciences & oceanology   Biochemistry, biophysics & molecular biology   Biotechnology   Entomology & pest control   Environmental sciences & ecology   Food science   Genetics & genetic processes   Microbiology   Phytobiology (plant sciences, forestry, mycology...)   Veterinary medicine & animal health   Zoology   Multidisciplinary, general & others Physical, chemical, mathematical & earth Sciences   Chemistry   Earth sciences & physical geography   Mathematics   Physics   Space science, astronomy & astrophysics   Multidisciplinary, general & others Social & behavioral sciences, psychology   Animal psychology, ethology & psychobiology   Anthropology   Communication & mass media   Education & instruction   Human geography & demography   Library & information sciences   Neurosciences & behavior   Regional & inter-regional studies   Social work & social policy   Sociology & social sciences   Social, industrial & organizational psychology   Theoretical & cognitive psychology   Treatment & clinical psychology   Multidisciplinary, general & others     Showing results 1 to 15 of 15 1 The law of iterated logarithm for subordinated Gaussian sequences: uniform Wasserstein boundsAzmoodeh, Ehsan ; Peccati, Giovanni ; Poly, Guillaumein ALEA: Latin American Journal of Probability and Mathematical Statistics (2016), 13Detailed reference viewed: 65 (2 UL) Generalization of the Nualart-Peccati criterionAzmoodeh, Ehsan ; Malicet, Dominique; Mijoule, Guillaume et alin Annals of Probability (2015), 44Detailed reference viewed: 73 (8 UL) Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian modelAzmoodeh, Ehsan ; Sottinen, Tommi; Viitasaari, Lauriin Modern Stochastics: Theory and Applications (2015), 2(1), 2949Detailed reference viewed: 43 (5 UL) Optimal Berry-Esseen bounds on the Poisson space.Peccati, Giovanni ; Azmoodeh, Ehsan E-print/Working paper (2015)Detailed reference viewed: 31 (0 UL) Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kindAzmoodeh, Ehsan ; Viitasaari, Lauriin Statistical Inference for Stochastic Processes (2015), 18(3), 205227Detailed reference viewed: 48 (0 UL) Convergence towards linear combinations of chi-squared random variables: a Malliavin-based approach.Azmoodeh, Ehsan ; Peccati, Giovanni ; Poly, Guillaumein Séminaire de Probabilités XLVII (2015)Detailed reference viewed: 107 (6 UL) Necessary and sufficient conditions for Hölder continuity of Gaussian processesAzmoodeh, Ehsan ; Sottinen, Tommi; Viitasaari, Lauri et alin Statistics & Probability Letters (2014), 94The continuity of Gaussian processes is an extensively studied topic and it culminates in Talagrand’s notion of majorizing measures that gives complicated necessary and sufficient conditions. In this note ... [more ▼]The continuity of Gaussian processes is an extensively studied topic and it culminates in Talagrand’s notion of majorizing measures that gives complicated necessary and sufficient conditions. In this note we study the Hölder continuity of Gaussian processes. It turns out that necessary and sufficient conditions can be stated in a simple form that is a variant of the celebrated Kolmogorov–Čentsov condition. [less ▲]Detailed reference viewed: 50 (0 UL) Fourth Moment Theorems for Markov diffusion generatorsAzmoodeh, Ehsan ; Campese, Simon ; Poly, Guillaume Joseph in Journal of Functional Analysis (2014), 266(4), 23412359Inspired by the insightful article [4], we revisit the Nualart–Peccati criterion [13] (now known as the Fourth Moment Theorem) from the point of view of spectral theory of general Markov diffusion ... [more ▼]Inspired by the insightful article [4], we revisit the Nualart–Peccati criterion [13] (now known as the Fourth Moment Theorem) from the point of view of spectral theory of general Markov diffusion generators. We are not only able to drastically simplify all of its previous proofs, but also to provide new settings of diffusive generators (Laguerre, Jacobi) where such a criterion holds. Convergence towards Gamma and Beta distributions under moment conditions is also discussed. [less ▲]Detailed reference viewed: 129 (27 UL) A general approach to small deviation via concentration of measuresAzmoodeh, Ehsan ; Viitasaari, LauriE-print/Working paper (2014)Detailed reference viewed: 17 (0 UL) Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian modelAzmoodeh, Ehsan ; Sottinen, Tommi; Viitasaari, LauriE-print/Working paper (2014)We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst ... [more ▼]We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional part satisfies H∈(3/4,1), the central limit theorem holds. In the nonsemimartingale case, that is, where H∈(1/2,3/4], the convergence toward the normal distribution with a nonzero mean still holds if H=3/4, whereas for the other values, that is, H∈(1/2,3/4), the central convergence does not take place. We also provide Berry--Esseen estimates for the estimator. [less ▲]Detailed reference viewed: 54 (0 UL) Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motionAzmoodeh, Ehsan ; Valkeila, Eskoin Statistical Inference for Stochastic Processes (2013), 16(2), 97-112Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same ... [more ▼]Dzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy. [less ▲]Detailed reference viewed: 59 (0 UL) Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kindAzmoodeh, Ehsan ; Viitasaari, LauriE-print/Working paper (2013)Detailed reference viewed: 44 (1 UL) Rate of Convergence for Discretization of Integrals with Respect to Fractional Brownian MotionAzmoodeh, Ehsan ; Viitasaari, Lauriin Journal of Theoretical Probability (2013)In this article, an uniform discretization of stochastic integrals $\int_{0}^{1} f'_-(B_t)\ud B_t$, where $B_t$ denotes the fractional Brownian motion with Hurst parameter $H \in (\frac{1}{2},1)$, for a ... [more ▼]In this article, an uniform discretization of stochastic integrals $\int_{0}^{1} f'_-(B_t)\ud B_t$, where $B_t$ denotes the fractional Brownian motion with Hurst parameter $H \in (\frac{1}{2},1)$, for a large class of convex functions $f$ is considered. In $\big[$\cite{a-m-v}, Statistics \& Decisions, \textbf{27}, 129-143$\big]$, for any convex function $f$, the almost sure convergence of uniform discretization to such stochastic integral is proved. Here we prove $L^r$- convergence of uniform discretization to stochastic integral. In addition, we obtain a rate of convergence. It turns out that the rate of convergence can be brought arbitrary close to $H - \frac{1}{2}$. [less ▲]Detailed reference viewed: 74 (2 UL) Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kindAzmoodeh, Ehsan ; Morlanes, Jose Igorin Statistics: A Journal of Theoretical and Applied Statistics (2013)The fractional Ornstein–Uhlenbeck process of the second kind (fOU2) is the solution of the Langevin equation with driving noise where B is a fractional Brownian motion with Hurst parameter H(0, 1). In ... [more ▼]The fractional Ornstein–Uhlenbeck process of the second kind (fOU2) is the solution of the Langevin equation with driving noise where B is a fractional Brownian motion with Hurst parameter H(0, 1). In this article, in the case H>½, we prove that the least-squares estimator introduced in [Hu Y, Nualart D. Parameter estimation for fractional Ornstein–Uhlenbeck processes. Stat. Probab. Lett. 2010;80(11–12):1030–1038], provides a consistent estimator. Moreover, using central limit theorem for multiple Wiener integrals, we prove asymptotic normality of the estimator valid for the whole range H(½, 1). [less ▲]Detailed reference viewed: 111 (6 UL) On the fractional Black-Scholes market with transaction costsAzmoodeh, Ehsan in Communications in Mathematical Finance (2013), 2(3), 21-40We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1 ... [more ▼]We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance$n^{-1}$between trading times. We derive a non trivial hedging error for a class of European options with convex payoff in the case when the transaction costs coefficients decrease as$n^{-(1-H)}$. We study the expected hedging error and asymptotic behavior of the hedge as Hurst parameter$H$approaches$\frac{1}{2}\$. [less ▲]Detailed reference viewed: 75 (2 UL) 1