Analysis of the Rosenblatt process
| dc.creator | Tudor, Ciprian A. | |
| dc.date | 2006-06-23 | |
| dc.date.accessioned | 2026-07-07T09:53:49Z | |
| dc.date.available | 2026-07-07T09:53:49Z | |
| dc.description | We analyze {\em the Rosenblatt process} which is a selfsimilar process with stationary increments and which appears as limit in the so-called {\em Non Central Limit Theorem} (Dobrushin and Major (1979), Taqqu (1979)). This process is non-Gaussian and it lives in the second Wiener chaos. We give its representation as a Wiener-Itô multiple integral with respect to the Brownian motion on a finite interval and we develop a stochastic calculus with respect to it by using both pathwise type calculus and Malliavin calculus. | |
| dc.identifier | https://arxiv.org/abs/math/0606602 | |
| dc.identifier | http://arxiv.org/abs/math/0606602 | |
| dc.identifier | ESAIM Probability and Statistics 12 (2008) 230-257 | |
| dc.identifier | doi:10.1051/ps:2007037 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/166089 | |
| dc.subject | Probability | |
| dc.title | Analysis of the Rosenblatt process | |
| dc.type | text |