Abstrakt
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for Ito processes. These processes for this stochastic calculus arise naturally from a stochastic chain rule for functionals of Rosenblatt processes; and some Ito-type expressions are given here.
Furthermore, there is some analysis of these results for their applications to problems using Rosenblatt noise. (c) 2020 Published by Elsevier B.V.