A stochastic calculus for Rosenblatt processes

DOI10.1016/j.spa.2020.01.004zbMath1494.60058arXiv1908.00296OpenAlexW3000682270WikidataQ114013049 ScholiaQ114013049MaRDI QIDQ2145804

Petr Čoupek, Tyrone E. Duncan, Bozenna Pasik-Duncan

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.00296

zbMATH Keywords

stochastic calculusRosenblatt processItô formulaSkorokhod integralforward integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (3)

Advances in noise modeling for stochastic systems in optimal control ⋮ Optimal controls for fractional stochastic differential systems driven by Rosenblatt process with impulses ⋮ Stochastic integration with respect to fractional processes in Banach spaces

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