From intersection local time to the Rosenblatt process

DOI10.1007/S10959-013-0535-7zbMATH Open1346.60135arXiv1307.6159OpenAlexW2951544712WikidataQ59408457 ScholiaQ59408457MaRDI QIDQ895915FDOQ895915

Authors: Tomasz Bojdecki, Anna Talarczyk, Luis G. Gorostiza 

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: The Rosenblatt process was obtained by Taqqu (1975) from convergence in distribution of partial sums of strongly dependent random variables. In this paper we give a particle picture approach to the Rosenblatt process with the help of intersection local time and white noise analysis, and discuss measuring its long range dependence by means of a number called dependence exponent.

Full work available at URL: https://arxiv.org/abs/1307.6159

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zbMATH Keywords

long-range dependenceRosenblatt processparticle systemintersection local timewhite-noise analysis

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Functional limit theorems; invariance principles (60F17) White noise theory (60H40) Local time and additive functionals (60J55) Self-similar stochastic processes (60G18)

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Cited In (9)

• Non-Gaussian limit of a tracer motion in an incompressible flow
• Lower bound for local oscillations of Hermite processes
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• A strong convergence to the Rosenblatt process
• Particle picture representation of the non-symmetric Rosenblatt process and Hermite processes of any order
• Self-similar stochastic processes with stationary increments as limits of particle systems
• Wavelet-type expansion of the Rosenblatt process
• Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
• Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence

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