  In this paper, we combine Hida distribution theory and Sobolev-Watanabe-Kree
spaces in order to study finely the link between forward integrals obtained by
regularization and Wick-It\^o integrals with respect to fractional Brownian
motion and the Rosenblatt process. The new methodology developed in this paper
allows to retrieve results for fractional Brownian motion and to obtain new
results regarding the Rosenblatt process. In particular, an It\^o formula for
functionals of the Rosenblatt process is obtained which holds in the space of
square-integrable random variables.
