Particle picture for the Rosenblatt process

Speaker(s)

Anna Talarczyk

Affiliation

Uniwersytet Warszawski

Date

Jan. 10, 2013, 12:15 p.m.

Room

room 3260

Seminar

Seminar of Probability Group

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The Rosenblatt process was introduced by Taqqu (1975). It is self-similar with index H, 1/2< H<1, has stationary increments and is not Gaussian - it lives in the second Wiener chaos. We show how this process can be obtained by applying a limiting procedure to appropriately chosen functionals of a system of \alpha-stable Levy processes.

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