Research interests
Fractional, Gaussian, and self-similar processes; stochastic analysis;
mathematical finance.
Publications
Ph.D. thesis
- Sottinen, T. (2003)
Fractional Brownian motion in finance and queueing.
Ph.D. Thesis, University of Helsinki.
(items 2, 4, 5, and 6 with an
introduction)
Journals with referee system
- Sottinen, T. (2001)
Fractional Brownian motion, random walks and binary market
models.
Finance
and Stochastics
5, no. 3, 343-355.
- Kozachenko, Yu., Sottinen, T. and Vasylyk, O. (2001)
Avtomodel'ni protsesy zy
statsyunarnymy pryrostamy z prostoriv SSub_\phi(\Omega).
Teoriya Imovirnostei ta Matematichna Statistika 65, 67-78
(in Ukrainian).
Self-similar processes with stationary increments
in the spaces SSub_\phi(\Omega).
Theory of Probability and
Mathematical Statistics
65, 77-88
(English translation).
- Kozachenko, Yu., Vasylyk, O. and Sottinen, T. (2002)
Path Space Large
Deviations of a Large Buffer with Gaussian Input Traffic.
Queueing Systems
42, no. 2, 113-129.
- Sottinen, T. and Valkeila, E. (2003)
On arbitrage and
replication in the Fractional Black-Scholes pricing
model.
Statistics & Decisions 21, 93-107.
- Sottinen, T. (2004)
On Gaussian processes equivalent
in law to fractional Brownian motion.
Journal
of Theoretical Probability 17, no. 2, 309-325.
- Kozachenko, Yu., Sottinen, T. and Vasylyk, O. (2005)
Simulation
of weakly self-similar
stationary increment Sub_\phi(\Omega)-processes:
a series expansion approach.
Methodology and
Computing in Applied Probability 7, 379-400.
- Sottinen, T. and Tudor, C.A. (2006)
On the
equivalence of multiparameter Gaussian processes.
Journal
of Theoretical Probability 19, no. 2., 461-485.
Proceedings with referee system
- Gilsing, H. and Sottinen, T. (2003)
Power series expansions for
fractional Brownian motions.
Theory of Stochastic Processes Vol. 9 (25), no. 3-4
(Proceedings of Seventh International School on Mathematical and
Statistical Methods in Economics, Finance and Insurance), 38-49.
- Gasbarra, D., Sottinen, T. and Valkeila, E. (2005)
Gaussian
bridges.
Proceedings of the Abel Symposium 2005,
Springer.
-
Bender, C., Sottinen, T. and Valkeila, E. (2007)
Arbitrage with fractional Brownian motion?
Theory of Stochastic Processes
(Proceedings of
Modern Stochastics: Theory and Applications 2006, Kyiv, Ukraine)
(to appear)
Preprints
- Sottinen, T. and Valkeila, E. (2001)
Fractional
Brownian motion as a model in finance.
University of
Helsinki,
Department
of Mathematics,
Preprint 302.
- Sottinen, T. and Tudor, C.A. (2005)
Parameter
estimation for stochastic equations with additive fractional Brownian
sheet.
University of
Helsinki,
Department
of Mathematics and Statistics,
Preprint 427 (submitted).
- Bender, C., Sottinen, T. and Valkeila, E. (2006)
No-arbitrage
pricing beyond semimartingales.
WIAS
Preprint No. 1110 (submitted).
- Rasila, A. and Sottinen, T. (2007)
Arbitrage by
changing the stock exchange.
University of
Helsinki,
Department
of Mathematics and Statistics,
Preprint 453 (submitted).
- Särkkä, S. and Sottinen, T. (2007)
Application of Girsanov Theorem to Particle Filtering
of Discretely Observed Continuous-Time Non-Linear Systems.
Preprint arXiv:0705.1598 (submitted).
Other mathematical publications
- Sottinen, T. (2004)
Nobelin muistopalkinto
taloustieteestä 2003: R. Englen ARCH-malli.
Arkhimedes
2004:2, 10-12
(in Finnish).
- Sottinen, T. (2004)
Sattuman matematiikkaa III:
Kolmogorovin aksioomat ja frekvenssitulkinta.
Solmu 2004:2, 17-21
(in Finnish).
- Lehto, S. and Sottinen, T. (2005)
Sisarusongelma - paradoksi
ehdollisesta todennäköisyydestä.
Solmu 2005:1, 14-15 (in
Finnish).
List of publications from
AMS Mathematical Reviews,
Zentralblatt MATH,
and from
JULKI publication database of the
University of Helsinki.
Tämä sivu soomeksi.
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