DYNSTOCH Network

Preprints:

• D. Gasbarra (2001), Particle filters for counting process observations, preprint under revision , ( postscipt version ).
• J. Klemelä (2000), Adaptive Estimation of the Location of the Mode of a Multivariate Density, submitted.
• J. Klemelä (2000), Level Set Profiling: a Method for Visualizing Multivariate Density Estimates, submitted ( postscript version }.
• J. Klemelä (2000), Lower Bounds for the Asymptotic Minimax Risk with Spherical Data , submitted ( portscipt version ).
• Yu. Kozachenko, T. Sottinen and O. Vasylyk (2001), Path space large deviations of a large buffer with Gaussian input traffic , University of Helsinki, Department of Mathematics, Preprint 294 ( postscript version ).
• E. Nummelin (2000), Principles of stochastic equilibrium theory I: The law of large numebrs and the principle of large deviations, University of Helsinki, Department of Mathematics, Preprint 273.
• E. Nummelin (2001), Principles of stochastic equilibrium theory II: The pronciple of minimum entropy, University of Helsinki, Department of Mathematics, Preprint 277.
• T. Sottinen and E. Valkeila (2001), Fractional Brownian motion as a model in finance , Department of Mathematics, Preprint 302, PS-file .
• A. Kukush, Y. Mishura and E. Valkeila (2001), Statistical inference with fractional Brownian motion , University of Turku, Institute of Applied Mathematics, A41 PDF-file (of the submitted paper).
• A. A. Gushchin and E. Valkeila (2003), Approximations and limit theorems for likelihood ratio processes in the binary case Department of Mathematics, preprint 359, PDF-file (of the submitted paper), 47 pages.

Papers published in Journals:

• R.G. Addie, P. Mannersalo and I. Norros (2001), Most Probable Paths and Performance Formulae for Buffers with Gaussian Input Traffic , European Transactions on Telecommunications, to appear.
• D. Gasbarra, S.B. Kulathinal Karia and K. Kuulasmaa (2001), Estimation of association between trends in event rates and trends in risk factors in the presence of measurement errors using EM-algorithm, Statistics in Medicine, to appear ( postscipt version ).
• D. Gasbarra and S.B. Kulathinal Karia (2001), Testing equality of cause-specific hazard rates corresponding to m competing risks among K groups, Lifetime Data Analysis, to appear ( postscipt version ).
• F. Delbain, Y. Kabanov and E. Valkeila (2001), Hedging under transaction costs in currency markets: a discrete-time model, Mathematical Finance, to appear.
• K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2002), Information concepts in Filtered experiments , Theory of Probability and Mathematical Statistics, 67, 38-56, PS-file .
• K. Dzhaparidze, P.J.C. Spreij and E. Valkeila (2003), Information processes for semimartingale experiments, Annals of Probability, 31, 216-243, PDF-file .
• A.A. Gushchin and E. Valkeila (2001), On statistical experiments converging to exponential limits, Statistics & Decisions, v. 19, 173-191.
• J. Klemelä (2000), Estimation of Densities and Derivatives of Densities with Directional Data , Journal of Multivariate Analysis, v.73, 18-40.
• J. Memin, Y. Mishura and E. Valkeila (2001), Inequalities for the moments of Wiener integrals with respects to a fractional Brownian motion, Statistics & Probability Letters, v. 51, 197-206.
• Y. Mishura and E. Valkeila (2000), An isometric approach to generalized stochastic integrals, Journal of Theoretical Probability, v. 13, 673-693.
• Y. Mishura and E. Valkeila (2001), Martingale transforms and Girsanov theorem for long-memory Gaussian processes, Statistics & Probability Letters, to appear.
• E. Nummelin (2000), On the existence and convergence of price equilibria for random economies, Annals of Applied Probability, v. 10, 268-282.
• E. Nummelin (2000), Large deviations of random vector fields with applications to economics, Advances in Applied Mathematics, v. 24, 222-259.
• T. Sottinen (2001), Fractional Brownian motion, random walks and binary market models , Finance and Stochastics, v.5, 343-355.
• T. Sottinen and E. Valkeila (2003), On arbitrage and replication in the fractional Black-Scholes pricing model ps-file , Statistics & Decisions , v.21 , 93-107.

Papers published in books and conferences:

• A.A. Gushchin and E. Valkeila (2001), Exponential Approximation of Statistical Experiments, in Asymptotic Methods in Probability and Statistics with Applications (N. Balakrishnan et.al (editors)), Birkhäuser, 409 - 423.
• J. Klemelä, S. Klinke and H. Sofyan (2000), Classification and Regression Trees , in XploRe - Application Guide (W. Härdle, Z. Hlavka and S. Klinke (editors)), Springer, 281-304.
• P. Mannersalo and I. Norros (2001), Approximate Formulae for Gaussian Priority Queues , to appear in Proceedings of ITC'17, Brasil.
• Yu. S. Mishura and E. Valkeila (2002), On the absence of arbitrage in the mixed Brownian-fractional Brownian market model, Proceedings of the Steklov Institute of Mathematics, v.237, 215-224.
• A.N. Shiryaev, E. Valkeila and L. Vostrikova, L. (2002), About characterization of lower and upper functions for square-integrable martingales, Proceedings of the Steklov Institute of Mathematics, v.237, 281-292.