Wiener integrals with respect to the generalized Hermite process (gHp). Applications: SDEs with gHp noise

Abstract

Abstract In this paper, we introduce Wiener integrals with respect to the generalized Hermite process and we prove a non-central limit theorem in which this integral appears as limit. As an application, we investigate the corresponding stochastic differential equations with the generalized Hermite process as a driving noise, we prove the existence and the uniqueness of the solution, and we give a generalization of the Hermite Ornstein–Uhlenbeck process and the Hermite-driving Vasicek process.