A stochastic calculus for Rosenblatt processes
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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.
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Cited in
(11)- An Itô calculus for a class of limit processes arising from random walks on the complex plane
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