Analysis of the Rosenblatt process
Probability
2008-08-01 v1
Abstract
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-It\^o 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.
Keywords
Cite
@article{arxiv.math/0606602,
title = {Analysis of the Rosenblatt process},
author = {Ciprian A. Tudor},
journal= {arXiv preprint arXiv:math/0606602},
year = {2008}
}