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Attributs	Valeurs
type	work Article
Is Part Of	http://hub.abes.fr/edp/periodical/ps/2008/volume_12/issue_2008/w
Subject	stochastic calculus via regularization Malliavin calculus Non Central Limit Theorem General second-order processes Gaussian processes Stochastic integrals Stochastic calculus of variations and the Malliavin calculus fractional Brownian motion Rosenblatt process Skorohod integral
Title	Analysis of the Rosenblatt process
Date	2008-01-01(xsd:dateTime)
has manifestation of work	http://hub.abes.fr/edp/periodical/ps/2008/volume_12/issue_2008/ps0711/m/web http://hub.abes.fr/edp/periodical/ps/2008/volume_12/issue_2008/ps0711/m/print
related by	http://hub.abes.fr/edp/periodical/ps/2008/volume_12/issue_2008/ps0711/authorship/1
Author	Tudor, Ciprian A.
Abstract	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.
article type	research-article
publisher identifier	ps0711
Date Copyrighted	2008-01-01(xsd:dateTime)
Rights	© EDP Sciences, SMAI, 2008
Rights Holder	EDP Sciences, SMAI
is part of this journal	ESAIM: Probability and Statistics
is primary topic of	http://hub.abes.fr/edp/periodical/ps/2008/volume_12/issue_2008/ps0711/w/record

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