We analyze { \em the Rosenblatt process} which is a selfsimilar process with stationary increments and which appears as limit in the so-called { \em Non Central Limit Theorem} (Dobrushin and Major (1979), Taqqu (1979)). This process is non-Gaussian and it lives in the second Wiener chaos. We give its representation as a Wiener-It\^o multiple integral with respect to the Brownian motion on a finite interval and we develop a stochastic calculus with respect to it by using both pathwise type calculus and Malliavin calculus.
Categories: math.PR