Related papers: A Stochastic Calculus for Rosenblatt Processes
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Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of…
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts…
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Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators are based on discrete observations of the underlying process.
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