Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process

DOI10.1080/17442508.2022.2068955MaRDI QIDQ6107680zbMATH OpenOpenAlexWikidataFDO

Authors Obayda Assaad, Ciprian A. Tudor

Publication date 3 July 2023

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2022.2068955

zbMATH Keywords

generalized Hermite Ornstein-Uhlenbeck processgeneralized Hermite processmultiple stochastic integralsRosenblatt processself-similarity

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

• Analysis of variations for self-similar processes. A stochastic calculus approach
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• Convergence of integrated processes of arbitrary Hermite rank
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• Fractional {O}rnstein-{U}hlenbeck processes
• Generalized Hermite processes, discrete chaos and limit theorems
• scientific article; zbMATH DE number 46153 (Why is no real title available?)
• scientific article; zbMATH DE number 3563431 (Why is no real title available?)
• Integration questions related to fractional Brownian motion
• Limit theorems for integral functionals of Hermite-driven processes
• Long-Range Dependence and Self-Similarity
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• Statistical inference for Vasicek-type model driven by Hermite processes
• The Malliavin Calculus and Related Topics
• Transformation formulas for fractional Brownian motion
• Volatility is rough
• Volatility options in rough volatility models
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

Cited in

(7)

• The Wiener-Hermite expansion with time-dependent ideal random function. II: The three-mode model.
• scientific article; zbMATH DE number 1263986 (Why is no real title available?)
• Wiener integrals with respect to the two-parameter tempered Hermite random fields
• The overdamped generalized Langevin equation with Hermite noise
• Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
• On the 1/H-variation of the divergence integral with respect to a Hermite process
• Generalized Hermite process: tempering, properties and applications

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