A strong convergence to the Rosenblatt process

DOI10.1016/J.JMAA.2012.02.040zbMATH Open1248.60043arXiv1109.4345OpenAlexW2040359488MaRDI QIDQ412475FDOQ412475

Ciprian A. Tudor, Soledad Torres, Johanna Garzón

Publication date: 4 May 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We give a strong approximation of Rosenblatt process via transport processes and we give the rate of convergence.

Full work available at URL: https://arxiv.org/abs/1109.4345

Recommendations

• Analysis of the rosenblatt process
• Wavelet-type expansion of the Rosenblatt process
• Weak convergence to Rosenblatt sheet
• From intersection local time to the Rosenblatt process
• Weak convergence to the Rosenblatt sheet in Besov spaces

zbMATH Keywords

fractional Brownian motionself-similarityRosenblatt processstrong invariance principleultiple stochastic integralsWiener-Ito integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

• The Malliavin Calculus and Related Topics
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
• Central limit theorems for non-linear functionals of Gaussian fields
• Non-central limit theorems for non-linear functional of Gaussian fields
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• A representation for self-similar processes
• Analysis of the Rosenblatt process
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
• A simple construction of the fractional Brownian motion.
• Tail behaviour of multiple random integrals and \(U\)-statistics
• Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
• Rate of convergence of transport processes with an application to stochastic differential equations
• Rate of convergence of uniform transport processes to brownian motion and application to stochastic integrals
• Almost Sure Convergence of Uniform Transport Processes to Brownian Motion
• A strong uniform approximation of fractional Brownian motion by means of transport processes

Cited In (15)

• The complex Brownian motion as a strong limit of processes constructed from a Poisson process
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• A strong convergence to the tempered fractional Brownian motion
• Title not available (Why is that?)
• On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals
• Wavelet-type expansion of the Rosenblatt process
• Strong limit of processes constructed from a renewal process
• An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
• Existence and stability behaviour of FSDE driven by Rosenblatt process with the application of visual perception of fish robot
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• From intersection local time to the Rosenblatt process
• On the rate of convergence to Rosenblatt-type distribution
• A stochastic calculus for Rosenblatt processes
• An explicit solution to the Skorokhod embedding problem for double exponential increments
• Approximation of the Rosenblatt process by semimartingales

This page was built for publication: A strong convergence to the Rosenblatt process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q412475)