A stochastic calculus for Rosenblatt processes

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10447974" target="_blank" >RIV/00216208:11320/22:10447974 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=8Tqw3DYFWD" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=8Tqw3DYFWD</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.spa.2020.01.004" target="_blank" >10.1016/j.spa.2020.01.004</a>

Result language
angličtina
Original language name
A stochastic calculus for Rosenblatt processes
Original language description
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for Ito processes. These processes for this stochastic calculus arise naturally from a stochastic chain rule for functionals of Rosenblatt processes; and some Ito-type expressions are given here. Furthermore, there is some analysis of these results for their applications to problems using Rosenblatt noise. (c) 2020 Published by Elsevier B.V.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA19-07140S" target="_blank" >GA19-07140S: Stochastic Evolution Equations and Space-Time Systems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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