A Stochastic Calculus for Rosenblatt Processes
Probability
2019-08-02 v1
Abstract
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It\^{o} processes. These processes for this stochastic calculus arise naturally from a stochastic chain rule for functionals of Rosenblatt processes; and some It\^{o}-type expressions are given here. Furthermore, there is some analysis of these results for their applications to problems using Rosenblatt noise.
Cite
@article{arxiv.1908.00296,
title = {A Stochastic Calculus for Rosenblatt Processes},
author = {Petr Čoupek and Tyrone E. Duncan and Bozenna Pasik-Duncan},
journal= {arXiv preprint arXiv:1908.00296},
year = {2019}
}