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• W3105303961 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 $xiin S(mathbb{R})$ 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." @default.
• W3105303961 created "2020-11-23" @default.
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• W3105303961 date "2015-06-22" @default.
• W3105303961 modified "2023-10-01" @default.
• W3105303961 title "A White Noise Approach to Stochastic Integration with Respect to the Rosenblatt Process" @default.
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• W3105303961 doi "https://doi.org/10.1007/s11118-015-9484-3" @default.
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