Publications
2024
Probabilistic Cauchy Functional Equations
On Sharp Rate of Convergence for Discretization of Integrals Driven by Fractional Brownian Motions and Related Processes with Discontinuous Integrands
Azmoodeh, E., Ilmonen, P., Shafik, N., Sottinen, T., & Viitasaari, L. (2023). On Sharp Rate of Convergence for Discretization of Integrals Driven by Fractional Brownian Motions and Related Processes with Discontinuous Integrands. JOURNAL OF THEORETICAL PROBABILITY. doi:10.1007/s10959-023-01272-7
Probabilistic Cauchy functional equations
Azmoodeh, E., Beelders, N., & Mishura, Y. (2024). Probabilistic Cauchy functional equations. Electronic Communications in Probability, 29(none). doi:10.1214/24-ecp626
2023
Multi-fractional Stochastic Dominance: Mathematical Foundations
On algebraic Stein operators for Gaussian polynomials
Azmoodeh, E., Gasbarra, D., & Gaunt, R. E. (2023). On algebraic Stein operators for Gaussian polynomials. BERNOULLI, 29(1), 350-376. doi:10.3150/22-BEJ1460
An asymptotic approach to proving sufficiency of Stein characterisations
Azmoodeh, E., Gasbarra, D., & Gaunt, R. E. (2023). An asymptotic approach to proving sufficiency of Stein characterisations. ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 20, 127-152. doi:10.30757/ALEA.v20-06
2022
2021
Optimal Variance-Gamma approximation on the second Wiener chaos
Azmoodeh, E., Eichelsbacher, P., & Thaele, C. (2022). Optimal Variance-Gamma approximation on the second Wiener chaos. JOURNAL OF FUNCTIONAL ANALYSIS, 282(11). doi:10.1016/j.jfa.2022.109450
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
2020
How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion?
Azmoodeh, E., Mishura, Y., & Sabzikar, F. (2022). How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion?. JOURNAL OF THEORETICAL PROBABILITY, 35(1), 484-527. doi:10.1007/s10959-020-01068-z
Multi-dimensional normal approximation of heavy-tailed moving averages
Azmoodeh, E., Ljungdahl, M. M., & Thaele, C. (2022). Multi-dimensional normal approximation of heavy-tailed moving averages. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 145, 308-334. doi:10.1016/j.spa.2021.11.011
2019
On algebraic Stein operators for Gaussian polynomials
Azmoodeh, E., Gasbarra, D., & Gaunt, R. E. (2019). On algebraic Stein operators for Gaussian polynomials. Retrieved from http://arxiv.org/abs/1912.04605v4
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
Optimal Gamma Approximation on Wiener Space
Azmoodeh, E., Eichelsbacher, P., & Knichel, L. (2020). Optimal Gamma Approximation on Wiener Space. Alea (Rio de Janeiro): Latin American journal of probability and mathematical statistics, 17, 101-132. doi:10.30757/ALEA.v17-05
2018
Malliavin-Stein method: a survey of some recent developments
Azmoodeh, E., Peccati, G., & Yang, X. (2021). Malliavin-Stein method: a survey of some recent developments. MODERN STOCHASTICS-THEORY AND APPLICATIONS, 8(2), 141-177. doi:10.15559/21-VMSTA184
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
On the Rate of Convergence to a Gamma Distribution on Wiener Space
Azmoodeh, E., Eichelsbacher, P., & Knichel, L. (2018). On the Rate of Convergence to a Gamma Distribution on Wiener Space. Retrieved from http://arxiv.org/abs/1806.03878v2
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. Retrieved from http://arxiv.org/abs/1802.06671v1
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/
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
New moments criteria for convergence towards normal product/tetilla laws
Azmoodeh, E., & Gasbarra, D. (2017). New moments criteria for convergence towards normal product/tetilla laws. Retrieved from http://arxiv.org/abs/1708.07681v2
A bound on the Wasserstein-2 distance between linear combinations of independent random variables
Arras, B., Azmoodeh, E., Poly, G., & Swan, Y. (2019). A bound on the Wasserstein-2 distance between linear combinations of independent random variables. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 129(7), 2341-2375. doi:10.1016/j.spa.2018.07.009
2016
Stein's method on the second Wiener chaos : 2-Wasserstein distance
Arras, B., Azmoodeh, E., Poly, G., & Swan, Y. (2016). Stein's method on the second Wiener chaos : 2-Wasserstein distance. Retrieved from http://arxiv.org/abs/1601.03301v1
2015
Optimal Berry-Esseen bounds on the Poisson space
Azmoodeh, E., & Peccati, G. (2015). Optimal Berry-Esseen bounds on the Poisson space. Retrieved from http://arxiv.org/abs/1505.02578v2
2014
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model
Azmoodeh, E., Sottinen, T., & Viitasaari, L. (2014). Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model. Modern Stochastics: Theory and Applications 2015, Vol. 2, No. 1, 29-49. Retrieved from http://dx.doi.org/10.15559/15-VMSTA24
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
A general approach to small deviation via concentration of measures
Azmoodeh, E., & Viitasaari, L. (2014). A general approach to small deviation via concentration of measures. Retrieved from http://arxiv.org/abs/1407.3553v3
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/
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
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
2013
GENERALIZATION OF THE NUALART-PECCATI CRITERION
Azmoodeh, E., Malicet, D., Mijoule, G., & Poly, G. (2016). GENERALIZATION OF THE NUALART-PECCATI CRITERION. ANNALS OF PROBABILITY, 44(2), 924-954. doi:10.1214/14-AOP992
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
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
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
2010
Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion
Azmoodeh, E., & Valkeila, E. (2010). Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion. Retrieved from http://arxiv.org/abs/1005.4349v2
On the fractional Black-Scholes market with transaction costs
Azmoodeh, E. (2010). On the fractional Black-Scholes market with transaction costs. Retrieved from http://arxiv.org/abs/1005.0211v1
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