Rosenblatt Laplace motion

Calcul de Malliavin et processus fractionnaires

Lieu: 
IHP, Salle 05, Paris.
Orateur: 
Oana Lupascu
Affiliation: 
ISMMA Bucarest, Romania
Dates: 
Mardi, 14 Novembre, 2017 - 10:30 - 11:30
Résumé: 

We give several properties of a random time transformation of a stochastic process in the second Wiener chaos. This modification is obtained by subordinating with a positive real-valued stochastic process with independent and stationary increments. In particular, we study the Rosenblatt Laplace motion obtained by the subordination of a Rosenblatt process to a Gamma process.