Stochastic differential equation driven by the Rosenblatt process

Abstract The Rosenblatt process is a non-Gaussian self-similar process residing in the second Wiener chaos. It emerges as the limit of correlated random sequences in "non-central limit theorems." It shares the same covariance function as fractional Brownian motion. In this paper, we studied a class of one-dimensional stochastic differential equations driven by the Rosenblatt process with Hurst parameter $$\frac{1}{2}&lt;H&lt;1.$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mfrac> <mml:mn>1</mml:mn> <mml:mn>2</mml:mn> </mml:mfrac> <mml:mo>&lt;</mml:mo> <mml:mi>H</mml:mi> <mml:mo>&lt;</mml:mo> <mml:mn>1</mml:mn> <mml:mo>.</mml:mo> </mml:mrow> </mml:math> We proved the existence and uniqueness of solution to this kind of equation under the linear growth and Lipschitz conditions. Additionally, using the Gronwall inequality lemma, we provide the continuous dependency of solutions on the initial value. We solve numerically our SDE using Euler Maruyama method. Finally the approximation solution are compared with the exact solution for different sample paths in an example.

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Publication Details

Journal
Acta Universitatis Sapientiae Mathematica
Published
2026-03-31
DOI
https://doi.org/10.1007/s44426-026-00034-2
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00

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article

Stochastic differential equation driven by the Rosenblatt process

Omar Kebiri, Sakina Benkaddour, Abdeldjebber Kandouci, Tomàs Caraballo
Acta Universitatis Sapientiae Mathematica
Stochastic processes and financial applications
article

Stochastic differential equation driven by the Rosenblatt process

Omar Kebiri, Sakina Benkaddour, Abdeldjebber Kandouci, Tomàs Caraballo
article en

Abstract

Abstract The Rosenblatt process is a non-Gaussian self-similar process residing in the second Wiener chaos. It emerges as the limit of correlated random sequences in "non-central limit theorems." It shares the same covariance function as fractional Brownian motion. In this paper, we studied a class of one-dimensional stochastic differential equations driven by the Rosenblatt process with Hurst parameter $$\frac{1}{2}&lt;H&lt;1.$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mfrac> <mml:mn>1</mml:mn> <mml:mn>2</mml:mn> </mml:mfrac> <mml:mo>&lt;</mml:mo> <mml:mi>H</mml:mi> <mml:mo>&lt;</mml:mo> <mml:mn>1</mml:mn> <mml:mo>.</mml:mo> </mml:mrow> </mml:math> We proved the existence and uniqueness of solution to this kind of equation under the linear growth and Lipschitz conditions. Additionally, using the Gronwall inequality lemma, we provide the continuous dependency of solutions on the initial value. We solve numerically our SDE using Euler Maruyama method. Finally the approximation solution are compared with the exact solution for different sample paths in an example.

Acta Universitatis Sapientiae MathematicaVol. 18(1)
Université de Saida Dr.Moulay Tahar (DZ), Brandenburg University of Technology Cottbus-Senftenberg (DE), Universidad de Sevilla (ES)
Deutsche Forschungsgemeinschaft, Brandenburgische Technische Universität Cottbus-Senftenberg
Openalex Percentile: Top 22%
Stochastic processes and financial applications
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