A strong convergence to the Rosenblatt process (Q412475)
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scientific article; zbMATH DE number 6030458
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| English | A strong convergence to the Rosenblatt process |
scientific article; zbMATH DE number 6030458 |
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A strong convergence to the Rosenblatt process (English)
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4 May 2012
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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.
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ultiple stochastic integrals
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Wiener-Ito integral
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Rosenblatt process
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fractional Brownian motion
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strong invariance principle
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self-similarity
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0.8667638301849365
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0.8293673396110535
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0.8126756548881531
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0.8058620095252991
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0.8012253642082214
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