A stochastic calculus for Rosenblatt processes
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DOI: 10.1016/j.spa.2020.01.004
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References listed on IDEAS
- Albin, J. M. P., 1998. "A note on Rosenblatt distributions," Statistics & Probability Letters, Elsevier, vol. 40(1), pages 83-91, September.
- Bardet, Jean-Marc & Tudor, Ciprian, 2014. "Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 1-16.
- Nualart,David & Nualart,Eulalia, 2018. "Introduction to Malliavin Calculus," Cambridge Books, Cambridge University Press, number 9781107039124, October.
- Nualart,David & Nualart,Eulalia, 2018. "Introduction to Malliavin Calculus," Cambridge Books, Cambridge University Press, number 9781107611986, October.
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- Russo, Francesco & Vallois, Pierre, 1995. "The generalized covariation process and Ito formula," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 81-104, September.
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Keywords
Rosenblatt process; Stochastic calculus; Itô formula; Skorokhod integral; Forward integral;All these keywords.
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