Geodesic
Analysis of the Rosenblatt process
ESAIM: Probability and Statistics, Tome 12 (2008), pp. 230-257 Cet article a éte moissonné depuis la source Numdam

Voir la notice de l'article

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 Majòr (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.

DOI : 10.1051/ps:2007037
Classification : 60G12, 60G15, 60H05, 60H07
Keywords: non central limit theorem, Rosenblatt process, fractional brownian motion, stochastic calculus via regularization, Malliavin calculus, Skorohod integral 
@article{PS_2008__12__230_0,
     author = {Tudor, Ciprian A.},
     title = {Analysis of the {Rosenblatt} process},
     journal = {ESAIM: Probability and Statistics},
     pages = {230--257},
     year = {2008},
     publisher = {EDP-Sciences},
     volume = {12},
     doi = {10.1051/ps:2007037},
     mrnumber = {2374640},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps:2007037/}
}
TY  - JOUR
AU  - Tudor, Ciprian A.
TI  - Analysis of the Rosenblatt process
JO  - ESAIM: Probability and Statistics
PY  - 2008
SP  - 230
EP  - 257
VL  - 12
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps:2007037/
DO  - 10.1051/ps:2007037
LA  - en
ID  - PS_2008__12__230_0
ER  - 
%0 Journal Article
%A Tudor, Ciprian A.
%T Analysis of the Rosenblatt process
%J ESAIM: Probability and Statistics
%D 2008
%P 230-257
%V 12
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps:2007037/
%R 10.1051/ps:2007037
%G en
%F PS_2008__12__230_0
Tudor, Ciprian A. Analysis of the Rosenblatt process. ESAIM: Probability and Statistics, Tome 12 (2008), pp. 230-257. doi: 10.1051/ps:2007037

Cité par Sources :