A strong convergence to the Rosenblatt process (Q412475): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q384918 |
||
Property / author | |||
Property / author: Ciprian A. Tudor / rank | |||
Revision as of 23:56, 13 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A strong convergence to the Rosenblatt process |
scientific article |
Statements
A strong convergence to the Rosenblatt process (English)
0 references
4 May 2012
0 references
The Rosenblatt process is a non-Gaussian self-similar, stationary increment stochastic process having the same covariance function as the fractional Brownian motion. Usually, the Rosenblatt process is defined as a multiple Wiener-Ito integral. The authors prove that the Rosenblatt process can be approximated in the strong sense by functionals of a certain type of processes called transport processes.
0 references
ultiple stochastic integrals
0 references
Wiener-Ito integral
0 references
Rosenblatt process
0 references
fractional Brownian motion
0 references
strong invariance principle
0 references
self-similarity
0 references