A white noise approach to stochastic integration with respect to the Rosenblatt process

DOI10.1007/S11118-015-9484-3zbMATH Open1331.60093arXiv1308.1835OpenAlexW3105303961MaRDI QIDQ907307FDOQ907307

Authors: Benjamin Arras 

Publication date: 25 January 2016

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this paper, we define a stochastic calculus with respect to the Rosenblatt process by means of white noise distribution theory. For this purpose, we compute the translated characteristic function of the Rosenblatt process at time $t>0$ in any direction $xiinS(mathbbR)$ and the derivative of the Rosenblatt process in the white noise sense. Using Wick multiplication by the former derivative and Pettis integration, we define our stochastic integral with respect to the Rosenblatt process for a wide class of distribution processes. We obtain an explicit formula for the variance of such a stochastic integral and It^o's formulae for a certain class of functionals of the Rosenblatt process. Finally, we compare our stochastic integral to other approaches.

Full work available at URL: https://arxiv.org/abs/1308.1835

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zbMATH Keywords

stochastic integrationRosenblatt processwhite noise distribution theory

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) General second-order stochastic processes (60G12) Stochastic integrals (60H05) White noise theory (60H40) 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
• White noise approach to multiparameter stochastic integration
• White Noise Approach to stochastic integration
• Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence
• From intersection local time to the Rosenblatt process
• Stochastic Fubini theorem with respect to Rosenblatt process
• A stochastic calculus for Rosenblatt processes
• On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

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