Regularization and integral representations of Hermite processes

DOI10.1016/J.SPL.2010.09.008zbMATH Open1216.60029OpenAlexW2074873680MaRDI QIDQ613203FDOQ613203

Vladas Pipiras, Murad S. Taqqu

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.09.008

zbMATH Keywords

fractional Brownian motion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=multiple+Wiener-It%EF%BF%BD%EF%BF%BD+integrals&go=Go multiple Wiener-It�� integrals]Hermite processesstochastic Fubini theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

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Cited In (38)

• Weak convergence to Rosenblatt sheet
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• Neutral stochastic partial differential equations with delay driven by Rosenblatt process in a Hilbert space
• Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
• Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
• On the distribution of the Rosenblatt process
• Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
• Multivariate limits of multilinear polynomial-form processes with long memory
• Wiener integrals with respect to the Hermite random field and applications to the wave equation
• Benoît Mandelbrot and fractional Brownian motion
• Weak convergence of weighted additive functionals of long-range dependent fields
• Title not available (Why is that?)
• Asymptotic analysis of higher-order scattering transform of Gaussian processes
• Approximation of the Rosenblatt sheet
• Limit theorems for long-memory flows on Wiener chaos
• The linear stochastic heat equation with Hermite noise
• An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
• Classes of Infinitely Divisible Distributions and Examples
• PRICING DERIVATIVES IN HERMITE MARKETS
• A weak convergence to Hermite process by martingale differences
• Riesz-based orientation of localizable Gaussian fields
• Convergence rate analysis in limit theorems for nonlinear functionals of the second Wiener chaos
• A white noise approach to stochastic integration with respect to the Rosenblatt process
• The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
• Exponential behavior of neutral impulsive stochastic integro-differential equations driven by Poisson jumps and Rosenblatt process
• Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes
• Gaussian approximation for the moving averaged modulus wavelet transform and its variants
• Generalized Hermite processes, discrete chaos and limit theorems
• Retarded stochastic differential equations with infinite delay driven by Rosenblatt process
• Central and Noncentral Limit Theorems Arising from the Scattering Transform and Its Neural Activation Generalization
• Hermite variations of the fractional Brownian sheet
• Representations of hermite processes using local time of intersecting stationary stable regenerative sets
• Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
• Existence and exponential stability for neutral stochastic integro-differential equations with impulses driven by a Rosenblatt process
• Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence
• How the instability of ranks under long memory affects large-sample inference
• Non symmetric Rosenblatt process over a compact
• Approximation of the Rosenblatt process by semimartingales

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