From intersection local time to the Rosenblatt process
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Publication:895915
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.
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- Intersection local times of all orders for Brownian and stable density processes -- construction, renormalisation and limit laws
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Cited in
(9)- Non-Gaussian limit of a tracer motion in an incompressible flow
- Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence
- A strong convergence to the Rosenblatt process
- Wavelet-type expansion of 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
- Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
- Existence and Hölder continuity conditions for self-intersection local time of Rosenblatt process
- Lower bound for local oscillations of Hermite processes
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