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Ehsan Azmoodeh

Dr Ehsan Azmoodeh

Reader in Actuarial and Financial Mathematics
Mathematical Sciences

Publications

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2024

2023

Multi-fractional Stochastic Dominance: Mathematical Foundations

Preprint

2022

2021

Editorial: Long-Memory Models in Mathematical Finance

Sottinen, T., Alos, E., Azmoodeh, E., & Di Nunno, G. (2021). Editorial: Long-Memory Models in Mathematical Finance. FRONTIERS IN APPLIED MATHEMATICS AND STATISTICS, 7. doi:10.3389/fams.2021.705429

DOI
10.3389/fams.2021.705429
Journal article

2020

2019

Integration-by-parts characterizations of Gaussian processes

Azmoodeh, E., Sottinen, T., Tudor, C. A., & Viitasaari, L. (2021). Integration-by-parts characterizations of Gaussian processes. COLLECTANEA MATHEMATICA, 72(1), 25-41. doi:10.1007/s13348-019-00278-x

DOI
10.1007/s13348-019-00278-x
Journal article

2018

Almost sure limit theorems on Wiener chaos: the non-central case

Azmoodeh, E., & Nourdin, I. (2019). Almost sure limit theorems on Wiener chaos: the non-central case. ELECTRONIC COMMUNICATIONS IN PROBABILITY, 24. doi:10.1214/19-ECP212

DOI
10.1214/19-ECP212
Journal article

ON A NEW SHEFFER CLASS OF POLYNOMIALS RELATED TO NORMAL PRODUCT DISTRIBUTION

Azmoodeh, E., & Gasbarra, D. (2018). ON A NEW SHEFFER CLASS OF POLYNOMIALS RELATED TO NORMAL PRODUCT DISTRIBUTION. THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, 98, 51-69. Retrieved from https://www.webofscience.com/

Journal article

2017

Stein characterizations for linear combinations of gamma random variables

Arras, B., Azmoodeh, E., Poly, G., & Swan, Y. (2020). Stein characterizations for linear combinations of gamma random variables. BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 34(2), 394-413. doi:10.1214/18-BJPS420

DOI
10.1214/18-BJPS420
Journal article

2016

2015

2014

Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach

Azmoodeh, E., Peccati, G., & Poly, G. (2015). Convergence Towards Linear Combinations of Chi-Squared Random Variables: A Malliavin-Based Approach. IN MEMORIAM MARC YOR - SEMINAIRE DE PROBABILITES XLVII, 2137, 339-367. doi:10.1007/978-3-319-18585-9_16

DOI
10.1007/978-3-319-18585-9_16
Journal article

The law of iterated logarithm for subordinated Gaussian sequences: uniform Wasserstein bounds

Azmoodeh, E., Peccati, G., & Poly, G. (2016). The law of iterated logarithm for subordinated Gaussian sequences: uniform Wasserstein bounds. ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 13(2), 659-686. Retrieved from https://www.webofscience.com/

Journal article

Necessary and sufficient conditions for Holder continuity of Gaussian processes

Azmoodeh, E., Sottinen, T., Viitasaari, L., & Yazigi, A. (2014). Necessary and sufficient conditions for Holder continuity of Gaussian processes. STATISTICS & PROBABILITY LETTERS, 94, 230-235. doi:10.1016/j.spl.2014.07.030

DOI
10.1016/j.spl.2014.07.030
Journal article

Fourth Moment Theorems for Markov diffusion generators

Azmoodeh, E., Campese, S., & Poly, G. (2014). Fourth Moment Theorems for Markov diffusion generators. JOURNAL OF FUNCTIONAL ANALYSIS, 266(4), 2341-2359. doi:10.1016/j.jfa.2013.10.014

DOI
10.1016/j.jfa.2013.10.014
Journal article

2013

Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

Azmoodeh, E., & Viitasaari, L. (2015). Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind. Statistical Inference for Stochastic Processes, 18, 205-277. doi:10.1007/s11203-014-9111-8

DOI
10.1007/s11203-014-9111-8
Journal article

Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind

Azmoodeh, E., & Morlanes, J. I. (2015). Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind. STATISTICS, 49(1), 1-18. doi:10.1080/02331888.2013.863888

DOI
10.1080/02331888.2013.863888
Journal article

2012

Rate of Convergence for Discretization of Integrals with Respect to Fractional Brownian Motion

Azmoodeh, E., & Viitasaari, L. (2015). Rate of Convergence for Discretization of Integrals with Respect to Fractional Brownian Motion. JOURNAL OF THEORETICAL PROBABILITY, 28(1), 396-422. doi:10.1007/s10959-013-0495-y

DOI
10.1007/s10959-013-0495-y
Journal article

2010

When does fractional Brownian motion not behave as a continuous function with bounded variation?

Azmoodeh, E., Tikanmaki, H., & Valkeila, E. (2010). When does fractional Brownian motion not behave as a continuous function with bounded variation?. STATISTICS & PROBABILITY LETTERS, 80(19-20), 1543-1550. doi:10.1016/j.spl.2010.06.008

DOI
10.1016/j.spl.2010.06.008
Journal article