203 citations · 730 across the 42 of their papers we have counts for
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math.PR2009
Variations and Hurst index estimation for a Rosenblatt process using longer filters
Alexandra Chronopoulou, Ciprian Tudor, Frederi Viens
The Rosenblatt process is a self-similar non-Gaussian process which lives in second Wiener chaos, and occurs as the limit of correlated random sequences in so-called \textquotedbll…
math.PR2009
Gaussian and non-Gaussian processes of zero power variation
Francesco Russo, Frederi Viens
This paper considers the class of stochastic processes which are Volterra convolutions of a martingale . When is Brownian motion, is Gaussian, and the class includes…
math.PR2009
Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent
Frederi G. Viens
We consider a random variable X satisfying almost-sure conditions involving G:=<DX,-DL^{-1}X> where DX is X's Malliavin derivative and L^{-1} is the inverse Ornstein-Uhlenbeck oper…