Centre d'Économie de la Sorbonne

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20042026

most citedAnalysis of the Rosenblatt process

222 citations

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math.PR2006★ 222 cited

Analysis of the Rosenblatt process

Ciprian A. Tudor

We analyze {\em the Rosenblatt process} which is a selfsimilar process with stationary increments and which appears as limit in the so-called {\em Non Central Limit Theorem} (Dobru…

math.PR2006★ 1 cited

Sample Path Properties of Bifractional Brownian Motion

Ciprian Tudor, Yimin Xiao

Let $B^{H, K} = {B^{H, K} (t), t \in R_{+}}$ be a bifractional Brownian motion in $R^{d}$ . We prove that $B^{H, K}$ is strongly locally nondeterministic. Applying this prope…

math.PR2006

Wiener integrals, Malliavin calculus and covariance measure structure

Ida Kruk, Francesco Russo, Ciprian Tudor

We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic…