Analysis of the Rosenblatt process

نویسنده

  • Ciprian A. Tudor
چکیده

We analyze the Rosenblatt process which is a selfsimilar process with stationary increments and which appears as limit in the so-called 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. 2000 AMS Classification Numbers: 60G12, 60G15, 60H05, 60H07

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تاریخ انتشار 2006