Limit behavior of the Rosenblatt Ornstein–Uhlenbeck process with respect to the Hurst index

DOI10.1090/tpms/1070zbMath1488.60136arXiv1907.05631OpenAlexW2969366192WikidataQ127354775 ScholiaQ127354775MaRDI QIDQ5230217

Meryem Slaoui, Ciprian A. Tudor

Publication date: 21 August 2019

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.05631

zbMATH Keywords

cumulantsRosenblatt processHurst parameterWiener chaos

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (7)

A stochastic calculus for Rosenblatt processes ⋮ Parameter identification for the Hermite Ornstein-Uhlenbeck process ⋮ On a generalized stochastic Burgers' equation perturbed by Volterra noise ⋮ Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean ⋮ Behavior of the Hermite sheet with respect to the Hurst index ⋮ Limit theorems for integral functionals of Hermite-driven processes ⋮ Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs

Cites Work

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• Behavior of the Hermite sheet with respect to the Hurst index
• Behavior of the generalized Rosenblatt process at extreme critical exponent values
• Central limit theorems for sequences of multiple stochastic integrals
• Analysis of Variations for Self-similar Processes
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
• Long-Range Dependence and Self-Similarity
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

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