4 papers · 1 filter
Joint convergence in Wiener chaos via transport hierarchy and Malliavin covariances
Ciprian A Tudor
We study the joint convergence in distribution of a sequence of multiple Wiener--Itô integrals of order that converges to a Gaussian limit $Z\sim N(0,υ
Quartic variation of the solution to the semilinear stochastic heat equation: limit behavior and asymptotic independence with respect to the data
I Cîmpean, Yassine Nachit, Ciprian A Tudor
This work concerns the limit behavior of the quartic variation (i.e., the power variation of order four) with respect to the time variable of the solution to the semilinear stochas…
Malliavin smoothness of the Rosenblatt process
Laurent Loosveldt, Yassine Nachit, Ivan Nourdin +1
We investigate the smoothness of the densities of the finite-dimensional distributions of the Rosenblatt process. Within the Malliavin calculus framework, we prove that Rosenblatt…
Absolute continuity of finite-dimensional distributions of Hermite processes via Malliavin calculus
Laurent Loosveldt, Yassine Nachit, Ivan Nourdin +1
We investigate the existence of densities for finite-dimensional distributions of Hermite processes of order \(q \ge 1\) and self-similarity parameter \(H\in(\frac12,1)\). Whereas…