A stochastic calculus for Rosenblatt processes

DOI10.1016/J.SPA.2020.01.004zbMATH Open1494.60058arXiv1908.00296OpenAlexW3000682270WikidataQ114013049 ScholiaQ114013049MaRDI QIDQ2145804FDOQ2145804

Petr Čoupek, T. E. Duncan, B. Pasik-Duncan

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It^{o} processes. These processes for this stochastic calculus arise naturally from a stochastic chain rule for functionals of Rosenblatt processes; and some It^{o}-type expressions are given here. Furthermore, there is some analysis of these results for their applications to problems using Rosenblatt noise.

Full work available at URL: https://arxiv.org/abs/1908.00296

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]Rosenblatt processforward integralSkorokhod integralstochastic calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited In (6)

• A uniform definition of stochastic process calculi
• Properties of trajectories of a multifractional Rosenblatt process
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• Advances in noise modeling for stochastic systems in optimal control
• Optimal controls for fractional stochastic differential systems driven by Rosenblatt process with impulses
• Stochastic integration with respect to fractional processes in Banach spaces

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