Analysis of the Rosenblatt process
ESAIM: Probability and Statistics, Tome 12 (2008), pp. 230-257.

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.

DOI : https://doi.org/10.1051/ps:2007037
Classification : 60G12,  60G15,  60H05,  60H07
Mots clés : non central limit theorem, Rosenblatt process, fractional brownian motion, stochastic calculus via regularization, Malliavin calculus, Skorohod integral
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Tudor, Ciprian A. Analysis of the Rosenblatt process. ESAIM: Probability and Statistics, Tome 12 (2008), pp. 230-257. doi : 10.1051/ps:2007037. http://www.numdam.org/articles/10.1051/ps:2007037/

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