Analysis of the Rosenblatt process
Abstract
We analyze {\em the Rosenblatt process} which is a selfsimilar process with stationary increments and which appears as limit in the socalled {\em Non Central Limit Theorem} (Dobrushin and Major (1979), Taqqu (1979)). This process is nonGaussian and it lives in the second Wiener chaos. We give its representation as a WienerItô 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.
 Publication:

arXiv Mathematics eprints
 Pub Date:
 June 2006
 arXiv:
 arXiv:math/0606602
 Bibcode:
 2006math......6602T
 Keywords:

 Mathematics  Probability
 EPrint:
 ESAIM Probability and Statistics 12 (2008) 230257